similar to: EWMA in fMultivar

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.

Hi, I tried to install fMultivar package but an error occurs that I could not understand. (I've been worked with linux / Ubuntu 6.06 LTS) > install.packages("fMultivar") Warning in install.packages("fMultivar") : argument 'lib' is missing: using /usr /local/lib/R/site-library --- Please select a CRAN mirror for use in this session --- Loading Tcl/Tk

Hi folks! Does anybody know how to use the OLS function in fMultivar to do dynamic regression? I've tried specifying lags in OLS using a data series created in fSeries and it doesn't seem to work. I've done dynamic regression using dyn$lm and I was wondering how to accomplish the same thing using the OLS function from fMultivar. Thanks! John [[alternative HTML version

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

I have the ewma function as shown below. I think I copied it from an oldSplus help page on filter and then modified it with a lot of help from Achim. ewma<-function(x,lambda = 1, init = x[1]) { rval<-filter(lambda*coredata(x),filter=(1-lambda),method="recursive",ini t=init) rval<-zoo(coredata(rval),index(x)) rval } It sort of works but , if there are NA values in the input

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:

I submitted this to rmetrics help list as well... I've been using R-2.4 with Rmetrics successfuly for a year or two. I recently moved to Ubuntu Linux 8.04, loaded R via apt-get install R-base etc. etc... then in the R interface i ran install.packages("fMultivar"), chose the CRAN mirror and it loaded fMultivar and all the required dependecies. However, when I try to run the same

AA> In 2008, I have spotted some errors in a package, one which is AA> likely to have many users (I am not one myself). The more serious AA> errors are in the documentation, since they lead to a completely AA> distorted interpretation of the outcome; in addition, there is (at AA> least) one programming error which produces some wrong AA> computations. A few weeks later, the

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,

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