similar to: behavior of ewma function

hi, Could anyone help me in solving the following error: I have 5 stocks returns data (returns) EWMA = matrix(nrow=T,ncol=5) # create a matrix to hold the covariance matrix for each t lambda = 0.94 S<-cov(returns) # initial (t=1) covariance matrix EWMA[1,] = c(S)[c(1,4,2)] ---ERROR # extract the variances and covariancefor (i in 2:T) { # loop

Hello, I would like to use the function EWMA() in the fMultivar Package and I have a series of data x, which is the returns series. Basically, I would like to get the variance estimation using EWMA. I am trying something like EWMA(x, lambda) and I have a couple of questions: Should x be the returns series or price series in my case? When I get the result, there are the same numbers of data

Hello, I would like to use the Exponential Weighted Moving Average procedure to get the variance. Is there any R function for doing this? Many thanks. -- View this message in context: http://www.nabble.com/EWMA-procedure-to-forecast-variance-tf4018317.html#a11412324 Sent from the R help mailing list archive at Nabble.com.

I am attempting to run a Poisson EWMA model using Patrick Brandt's source code. I get the following error when I run the code: Error in dimnames(x) <- dn : length of 'dimnames' [1] not equal to array extent Dimnames(x) looks like this: [[1]] NULL [[2]] [1] "mip" "div" "nom" "unity" "mood"

To ensure ewma_read() without a lock returns a valid but possibly out of date average, modify ewma_add() by using ACCESS_ONCE to prevent intermediate wrong values from being written to avg->internal. Suggested-by: Eric Dumazet <eric.dumazet at gmail.com> Signed-off-by: Michael Dalton <mwdalton at google.com> --- lib/average.c | 6 ++++-- 1 file changed, 4 insertions(+), 2

Hi, I've been searching for a solution to this but have come up empty. I would like to suppress the plot creation when using the ewma function in the qcc package. Normally it's just plot = FALSE, but the ewma function doesn't have this option. Anything I'm missing or a work around? Many thanks, Brian Francis Statistician II Charles River Laboratories

Hi All, I have 5 stock values and i am calculating EWMA followed the logic as given ind following link.[ http://www.orecastingfinancialrisk.com/3.html<http://www.forecastingfinancialrisk.com/3.html> ] library('tseries') returns[,1]<-returns[,1]-mean(returns[,1]) returns[,2]<-returns[,2]-mean(returns[,2]) returns[,3]<-returns[,3]-mean(returns[,3])

hi all : the code pasted below runs but then, a dput on rollmeandifflogbidask gives me what is below the code. the structure of rollmeandifflogbidask is a zoo object but with a "frequency" so it's not the same structure as the original actual diff and this really causes things to blow up in later code. i'm sure gabor and achim know what to do but in the case that they are not

So for mergeable bufs, we use ewma machinery to guess the correct buffer size. If we don't guess correctly, XDP has to do aggressive copies. Problem is, xdp paths do not update the ewma at all, except sometimes with XDP_PASS. So whatever we happen to have before we attach XDP, will mostly stay around. The fix is probably to update ewma unconditionally. -- MST

So for mergeable bufs, we use ewma machinery to guess the correct buffer size. If we don't guess correctly, XDP has to do aggressive copies. Problem is, xdp paths do not update the ewma at all, except sometimes with XDP_PASS. So whatever we happen to have before we attach XDP, will mostly stay around. The fix is probably to update ewma unconditionally. -- MST

here''s the output : # tc -s -d class show dev eth0 class cbq 1: root rate 10Mbit cell 8b (bounded,isolated) prio no-transmit/8 weight 10Mbit allot 1514b level 2 ewma 5 avpkt 1000b maxidle 23us Sent 294 bytes 7 pkts (dropped 0, overlimits 0) borrowed 0 overactions 0 avgidle 605 undertime 0 class cbq 1:10 parent 1:1 leaf 10: rate 100Kbit cell 8b prio 1/1 weight 100Kbit allot 1600b

Hello, I need to calculate a moving average and an exponentially weighted moving average over a fairly large data set (500K rows). Doing this in a for loop works nicely, but is slow. ewma <- data$col[1] N <- dim(data)[1] for(i in 2:N){ data$ewma <- alpha * data$ewma[i-1] + (1-alpha) * data$value[i] } Since the moving average "accumulates" as we move through the data,

Hi, I would like to apply the following function for i between 1 and 12, and then construct a list of the return series. for (i in 1:12){ ewma[i] <- emaTA(calm[[i]]^2,0.03) standard[i]<- calm[[i]]/sqrt(ewma[i]) standard <- cbind(standard[i]) } But it does not work. Could anyone give me some advice how can I achieve this? Many thanks -- View this message in context:

Commit ab7db91705e9 ("virtio-net: auto-tune mergeable rx buffer size for improved performance") introduced a virtio-net dependency on EWMA. The inclusion of EWMA is controlled by CONFIG_AVERAGE. Fix build error when CONFIG_AVERAGE is not enabled by adding select AVERAGE to virtio-net's Kconfig entry. Build failure reported using config make ARCH=s390 defconfig. Signed-off-by:

Commit ab7db91705e9 ("virtio-net: auto-tune mergeable rx buffer size for improved performance") introduced a virtio-net dependency on EWMA. The inclusion of EWMA is controlled by CONFIG_AVERAGE. Fix build error when CONFIG_AVERAGE is not enabled by adding select AVERAGE to virtio-net's Kconfig entry. Build failure reported using config make ARCH=s390 defconfig. Signed-off-by:

On 11/13/2013 04:19 PM, Eric Dumazet wrote: > On Wed, 2013-11-13 at 10:47 +0200, Ronen Hod wrote: > >> I looked at how ewma works, and although it is computationally efficient, >> and it does what it is supposed to do, initially (at the first samples) it is strongly >> biased towards the value that was added at the first ewma_add. >> I suggest that you print the

On 11/13/2013 04:19 PM, Eric Dumazet wrote: > On Wed, 2013-11-13 at 10:47 +0200, Ronen Hod wrote: > >> I looked at how ewma works, and although it is computationally efficient, >> and it does what it is supposed to do, initially (at the first samples) it is strongly >> biased towards the value that was added at the first ewma_add. >> I suggest that you print the

Dear R People: Now I have a function with 3 graphics windows. I'd like for them all to be visible. However, the first window goes blank. Here is the basic setup. The first plot is the entire series. The user selects two points, which in turns generates a subset plot and an EWMA subset plot. Finally, if things worked right, the user should be able to click on "Tile Vertically"

On 11/13/2013 06:21 AM, Michael Dalton wrote: > Commit 2613af0ed18a ("virtio_net: migrate mergeable rx buffers to page frag > allocators") changed the mergeable receive buffer size from PAGE_SIZE to > MTU-size, introducing a single-stream regression for benchmarks with large > average packet size. There is no single optimal buffer size for all workloads. > For workloads

On 11/13/2013 06:21 AM, Michael Dalton wrote: > Commit 2613af0ed18a ("virtio_net: migrate mergeable rx buffers to page frag > allocators") changed the mergeable receive buffer size from PAGE_SIZE to > MTU-size, introducing a single-stream regression for benchmarks with large > average packet size. There is no single optimal buffer size for all workloads. > For workloads