[EMAIL PROTECTED] a écrit : > One common weighting scheme is exponentially weighted, i.e., wt = > L^(0:m) , > where 0 < L <= 1 . > > David L. Reiner > > p.s. > If your question is coming from a financial application, you might be > interested in the R-sig-finance list, as well as reading the RiskMetrics > (r) > document "Return to RiskMetrics: The Evolution of a Standard", by Jorge > Mina and Jerry Yi Xiao (available at their site, after a free > registration) where exponentially weighted moving statistics are > discussed at length.
Thank you for the advice and for the link. Vincent ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
