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Results tagged with moving-window
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user 805
A window is a fixed-length subset of consecutive observations of a time series. The window is moved along the time series at a constant rate. AKA "rolling window".
3
votes
Accepted
Detrending using moving average
\begin{eqnarray}
\Delta^2(x_{t+1})&=&\Delta(\Delta(x_{t+1}))\\
&=&\Delta(x_{t+1}-x_t)\\
&=&\Delta(x_{t+1})-\Delta(x_t)\qquad\text{(by linearity of }\Delta \text{ operator)}\\
&=&(x_{t+1}-x_t)-(x_{t}-x …
- 290k
2
votes
Tuning an exponential moving average to a moving window mean?
If I understand the question correctly, the issue is one of trying to make an exponentially decreasing weight series fit to a discrete uniform (constant weight with cutoff):
Clearly either an EWMA …
- 290k