RE: vectorized moving average?

[Tim Rueth]

Thanks for showing how to use filter() to do a simple moving average.  I implemented your code, and it agrees with movavg(x,10,10,0), which calculates a 10-day simple moving average.  There's only a difference in the first 9 numbers due to assumed values of negative time (movavg calculates a "run-in" period).  As you might recall, I'm trying to use filter() to avoid movavg()'s for-loop.

 

Now, what I'm trying to do is a weighted moving average, identical to the "alpha" parameter of movavg().  When alpha=0, it's a simple moving average, and agrees with filter().  If I change alpha to 1, I'm suppose to get a linear MA.  Here's the code in movavg.m that does the weighting (lead is the number of days to average, equal to 10 in the above case):

 

  lead = (1:lead).^alpha;
  ## Adjust the weights to equal 1
  lead = lead / sum (lead);
  

 So, for a 10-day linearly-weighted moving average (lead = 10, alpha = 1), the previous 9 days and current day should be weighted as follows: 1/55, 2/55, 3/55...10/55, with the greatest weight (10/55) applied to the current day.  So, I tried a simple test case with just a 2-day MA on a 6-element vector:

 

ma_days = 2;
alpha = 1;
len = 6;
a = rand(1,len);

 

# Calculate MA using movavg()
ma = movavg(a,ma_days,ma_days,alpha);

 

# Calculate MA using filter()
sweep = (1:ma_days).^alpha;
norm_sweep = sweep/sum(sweep);
f = filter(norm_sweep,1,a);

 

disp(ma);
disp(f);

 

The movavg() and filter() results are similar, but not equal.  I'm guessing I don't have the arguments for filter() correct, but I can't figure out what I did wrong.  Particularly, I'm not sure what the second argument of filter() is supposed to do.  Help?

---

From: address@hidden [mailto:address@hidden On Behalf Of James Sherman Jr.
Sent: Friday, May 07, 2010 12:58 PM
To: address@hidden
Cc: Octave-ML
Subject: Re: vectorized moving average?

I'm not sure what you mean by weighting of 0.5, but to do a simple 10-day average, it'd be

x = rand(1, 100);

y = filter(1/10*ones(1, 10), 1, x)

This assumes that the values at negative time (x(0), x(-1), etc) are all zero.  So, for example, the first value of y would be x(1)/10.

On Fri, May 7, 2010 at 3:33 PM, Tim Rueth <address@hidden> wrote:

I looked at both conv() and filter(), but can't figure out how to do a
moving average with them.  Perhaps I'm not understanding the functions of
the input vars correctly.

Let's say I have an array, a = rand(1,100).  Can you tell me how I'd use
conv() and filter() to take, say the 10-day moving average of it, with a
weighting of 0.5?

Thanks!

> -----Original Message-----
> From: Andy Buckle [mailto:address@hidden]
> Sent: Thursday, May 06, 2010 12:06 AM
> To: address@hidden
> Cc: address@hidden
> Subject: Re: vectorized moving average?
>
> conv is also an m file, but it only has a few ifs in. then it
> calls filter to get the job done. which is an oct file.
>
> Andy
>
> On Thu, May 6, 2010 at 6:28 AM, Tim Rueth <address@hidden> wrote:
> > Does anyone know how to take an n-day weighted moving average of a
> > vector without using a for-loop?  I looked at the M code
> for movavg()
> > and it uses a for-loop, so I'm guessing there probably isn't a way,
> > but I thought I'd check.  Thanks.
> >
> > --Tim
> > _______________________________________________
> > Help-octave mailing list
> > address@hidden
> > https://www-old.cae.wisc.edu/mailman/listinfo/help-octave
> >
> >
>
>
>
> --
> /* andy buckle */
>


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