[R] Re: R-help Digest V2 #377

[Adrian Trapletti]

> Date: Tue, 27 Mar 2001 22:46:37 +0200
> From: "Karl Christoph Keller" <K.Christoph.Keller at web.de>
> Subject: [R] Exponential smoothing
>
> Dear all,
>
> is there any function to do exponential smoothing of data in R?
>
> I have searched all documentation (at least I hope I did) and found
> nothing.
>
> I know exp. smoothing is a somewhat old method and better ones exist,
> but I want it for the reason of comparing results.
>
> Greetings
>
> Christoph
>

A simple exponential weighted moving average procedure would be

ewma <- function (x, lambda = 1, init = 0)
{
  y <- filter(lambda*x, filter=1-lambda, method="recursive", init=init)
  return (y)
}

Using ewma as a forecast function is known as exponential smoothing.
Try, e.g.:

x <- ts(diffinv(rnorm(100)))
y <- ewma(x,lambda=0.2,init=x[1])
plot(x)
lines(y,col="red")

best
Adrian

--
Dr.  Adrian Trapletti,  Olsen  &  Associates Ltd.
Seefeldstrasse 233, CH-8008  Zürich,  Switzerland
Phone: +41 (1) 386 48 47   Fax: +41 (1) 422 22 82
E-mail: adrian at olsen.ch  WWW: http://www.olsen.ch




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