Re: Weighted Moving Average

[Daniel Oberhoff]

An online method to do wma (i.e. where you can add a single value at  
once) with an expinential window (which weighs more recent events  
stronger than less recent ones) works like this:

init:

x_mean(0) = x(0);

update:

x_mean(t+1) = exp(-1/tau) * (x_mean(t) + x(t) / tau);


this gives you a wma of x(t). Tau is something like the length of the  
memory (events further back than tau will not be "remembered" too well).


Best

Daniel Oberhoff

Am 10.08.2007 um 09:19 schrieb Luca Delucchi:

> Hi, I can do a function on Weighted Moving Average where the value are
> take in automatic mode? this my idea
>
> #y=[y1,y2,y3,y4,y5]
> function wma(y)
> (y1+2*y2+y3)/4
> (y2+2*y3+y4)/4
> etc
> etc
> end function
>
> I could not repeat the formula (y1+2*y2+y3)/4 (because if the long of
> vector is different i must change the function) but have only one
> formula that use the formula for all values of vector
>
> I hope I've given a clear explanation
>
> Luca
> _______________________________________________
> Help-octave mailing list
> address@hidden
> https://www.cae.wisc.edu/mailman/listinfo/help-octave