<tolga.i.uzuner <at> jpmorgan.com> writes: > I am looking for a smoothing function with the following characteristics > for a time series of data: > - at each date, should only use data up to that date (so, right aligned > and not centered) > - should return a smoothed series of length equal to the original time > series: > - for a one-day time series, just returns that day > - this means the front part of the series will not be as smooth... > that's ok > - if the original time series has length 10, the returned smoothed > time series has length 10 > - there should be some control over smoothness
First order recursive smoother, no package needed y(0) = x(0) y(n) = alpha*y(n-1)+(1-alpha)x(n) Use alpha = 0.95 for a starter; must be < 1. Dieter ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
