All Questions
Tagged with moving-window estimation
4 questions
1
vote
0
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57
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Transformation w/ Rolling Regression (Residual Function)
In a time series with OLS regression curve $\widehat Y$ (rolling linear regression), and with $n=20,$ what can I say about this transformation? This formula is similar to a differential minus its ...
- 11
3
votes
1
answer
978
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Efficient online (rolling window) estimation of a GARCH model
I have a time series $x_t$ of length $n$. I would like to model it using rolling window approach with window length (width) $w$:
window $1$: $x_1,\dots,x_w$,
window $2$: $x_2,\dots,x_{w+1}$,
$\dots$,
...
- 69.5k
6
votes
2
answers
4k
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How can I estimate the sliding window standard deviation of a stream?
I am processing a stream of database records. At current levels, about 250 million records are added per week, but this will increase. I wish to compute the 90-day sliding window standard deviation of ...
- 226
0
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0
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Online moving median [duplicate]
So I can use "EWMA" (1) to update an estimate of the mean as each new measurement is received.
If I know the window size of the smooth($\eta$), the previous estimate($ \bar{x}_t$), and the new ...
- 9,843