Re: [R] Moving Average
Hi, To make moving average, I advise you, to read a document in my web to make forecasting, http://www.juanantonio.info/p_research/statistics/r/forecasting.htm http://www.juanantonio.info/p_research/statistics/r/forecasting.htm This scripts use the library forecast and the function pegels. http://www-personal.buseco.monash.edu.au/~hyndman/Rlibrary/forecast/ http://www-personal.buseco.monash.edu.au/~hyndman/Rlibrary/forecast/ If you see the web, the author of the library has updated it, then the function to make the prediction is ets. http://www-personal.buseco.monash.edu.au/~hyndman/Rlibrary/forecast/forecast/ets.html http://www-personal.buseco.monash.edu.au/~hyndman/Rlibrary/forecast/forecast/ets.html Best Regards. Juan Antonio Breña Moral http://www.juanantonio.info http://www.juanantonio.info -- View this message in context: http://www.nabble.com/Moving-Average-tf2004135.html#a5518837 Sent from the R help forum at Nabble.com. __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
[R] Moving Average
Dear R-Users, How can I compute simple moving averages from a time series in R? Note that I do not want to estimate a MA model, just compute the MA's given a lenght (as excel does). Thanks Ricardo Gonçalves Silva, M. Sc. Apoio aos Processos de Modelagem Matemática Econometria Inadimplência Serasa S.A. (11) - 6847-8889 [EMAIL PROTECTED] ** As informações contidas nesta mensagem e no(s) arquivo(s) anexo(s) são endereçadas exclusivamente à(s) pessoa(s) e/ou instituição(ões) acima indicada(s), podendo conter dados confidenciais, os quais não podem, sob qualquer forma ou pretexto, ser utilizados, divulgados, alterados, impressos ou copiados, total ou parcialmente, por pessoas não autorizadas. Caso não seja o destinatário, favor providenciar sua exclusão e notificar o remetente imediatamente. O uso impróprio será tratado conforme as normas da empresa e da legislação em vigor. Esta mensagem expressa o posicionamento pessoal do subscritor e não reflete necessariamente a opinião da Serasa. ** [[alternative HTML version deleted]] __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] Moving Average
See ?filter - simple and exponential are special cases ?runmean - in package caTools (the fastest) ?rollmean - in zoo package ?embed - can write your own using embed as basis ?sma - in package fSeries, also see ewma in same package Probably other functions in other packages too. On 7/26/06, [EMAIL PROTECTED] [EMAIL PROTECTED] wrote: Dear R-Users, How can I compute simple moving averages from a time series in R? Note that I do not want to estimate a MA model, just compute the MA's given a lenght (as excel does). Thanks Ricardo Gonçalves Silva, M. Sc. Apoio aos Processos de Modelagem Matemática Econometria Inadimplência Serasa S.A. (11) - 6847-8889 [EMAIL PROTECTED] ** As informações contidas nesta mensagem e no(s) arquivo(s) anexo(s) são endereçadas exclusivamente à(s) pessoa(s) e/ou instituição(ões) acima indicada(s), podendo conter dados confidenciais, os quais não podem, sob qualquer forma ou pretexto, ser utilizados, divulgados, alterados, impressos ou copiados, total ou parcialmente, por pessoas não autorizadas. Caso não seja o destinatário, favor providenciar sua exclusão e notificar o remetente imediatamente. O uso impróprio será tratado conforme as normas da empresa e da legislação em vigor. Esta mensagem expressa o posicionamento pessoal do subscritor e não reflete necessariamente a opinião da Serasa. ** [[alternative HTML version deleted]] __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] Moving Average
From: [EMAIL PROTECTED] Date: 2006/07/26 Wed AM 09:29:27 CDT To: r-help@stat.math.ethz.ch Subject: [R] Moving Average i think it was mave() in Splus. probably something similar in R. do RSiteSearch(moving average)at an R prompt. Dear R-Users, How can I compute simple moving averages from a time series in R? Note that I do not want to estimate a MA model, just compute the MA's given a lenght (as excel does). Thanks Ricardo Gonçalves Silva, M. Sc. Apoio aos Processos de Modelagem Matemática Econometria Inadimplência Serasa S.A. (11) - 6847-8889 [EMAIL PROTECTED] ** As informações contidas nesta mensagem e no(s) arquivo(s) anexo(s) são endereçadas exclusivamente à(s) pessoa(s) e/ou instituição(ões) acima indicada(s), podendo conter dados confidenciais, os quais não podem, sob qualquer forma ou pretexto, ser utilizados, divulgados, alterados, impressos ou copiados, total ou parcialmente, por pessoas não autorizadas. Caso não seja o destinatário, favor providenciar sua exclusão e notificar o remetente imediatamente. O uso impróprio será tratado conforme as normas da empresa e da legislação em vigor. Esta mensagem expressa o posicionamento pessoal do subscritor e não reflete necessariamente a opinião da Serasa. ** [[alternative HTML version deleted]] __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
[R] Moving average
Good morning all!
I am attempting to superimpose a moving-average smoother onto a graph of
daily plots. These plots (in table[,2] below) span about 350 days and
looks very noisy. I'd like for this smoother to plot the average of each
group of 7 consecutive days (weekly) and show a line which joins these
series of averages. Given the definition of MA, the first and last points
will generally overlap in the average calculation.
It's probably a one-liner, but I still am having some problems with the
syntax. The only part I have correct is the lines statement to ensure
it overlays my original graph.
Here's the code I have thus far:
y - table[,2]
plot(y,type=l,lty=3)
lines( ..) {moving average code here to be placed here}
Any time series gurus out there? Be gentle. I'm an R beginner.
Thanx!
Bernard
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Re: [R] Moving average
On Jun 16, 2005, at 8:04 AM, Bernard L. Dillard wrote:
Good morning all!
I am attempting to superimpose a moving-average smoother onto a graph
of
daily plots. These plots (in table[,2] below) span about 350 days and
looks very noisy. I'd like for this smoother to plot the average of
each
group of 7 consecutive days (weekly) and show a line which joins these
series of averages. Given the definition of MA, the first and last
points
will generally overlap in the average calculation.
It's probably a one-liner, but I still am having some problems with the
syntax. The only part I have correct is the lines statement to
ensure
it overlays my original graph.
Here's the code I have thus far:
y - table[,2]
plot(y,type=l,lty=3)
lines( ..) {moving average code here to be placed here}
Any time series gurus out there? Be gentle. I'm an R beginner.
R site search is your friend:
http://finzi.psych.upenn.edu/cgi-bin/namazu.cgi?
query=moving+windowmax=20result=normalsort=scoreidxname=functionsid
xname=docsidxname=Rhelp02a
Sean
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Re: [R] Moving average
are you looking the function decompose?
see ?decompose
On Thu, 16 Jun 2005 08:04:18 -0400 (EDT)
Bernard L. Dillard [EMAIL PROTECTED] wrote:
Good morning all!
I am attempting to superimpose a moving-average smoother onto a graph of
daily plots. These plots (in table[,2] below) span about 350 days and
looks very noisy. I'd like for this smoother to plot the average of each
group of 7 consecutive days (weekly) and show a line which joins these
series of averages. Given the definition of MA, the first and last points
will generally overlap in the average calculation.
It's probably a one-liner, but I still am having some problems with the
syntax. The only part I have correct is the lines statement to ensure
it overlays my original graph.
Here's the code I have thus far:
y - table[,2]
plot(y,type=l,lty=3)
lines( ..) {moving average code here to be placed here}
Any time series gurus out there? Be gentle. I'm an R beginner.
Thanx!
Bernard
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Re: [R] Moving average
On Thu, 16 Jun 2005 08:04:18 -0400 (EDT) Bernard L. Dillard wrote:
Good morning all!
I am attempting to superimpose a moving-average smoother onto a graph
of daily plots. These plots (in table[,2] below) span about 350 days
and looks very noisy. I'd like for this smoother to plot the average
of each group of 7 consecutive days (weekly) and show a line which
joins these series of averages. Given the definition of MA, the first
and last points will generally overlap in the average calculation.
It's probably a one-liner, but I still am having some problems with
the syntax. The only part I have correct is the lines statement to
ensure it overlays my original graph.
Here's the code I have thus far:
y - table[,2]
plot(y,type=l,lty=3)
lines( ..) {moving average code here to be placed here}
With the zoo package you can do the following:
library(zoo)
## create data
x - rnorm(365)
## transform to regular zoo series with Date index
x - zooreg(x, start = as.Date(2004-01-01))
plot(x)
## add rolling/running/moving average with window size 7
lines(rollmean(x, 7), col = 2, lwd = 2)
## if you don't want the rolling mean but rather a weekly
## time series of means you can do
nextfri - function(x) 7 * ceiling(as.numeric(x - 1)/7) + as.Date(1)
xw - aggregate(x, nextfri, mean)
## nextfri is a function which computes for a certain Date
## the next friday. xw is then the weekly series.
lines(xw, col = 4)
Note, that the differnce between is rolling mean and the aggregated
series is due to different alignments. This can be changed by changing
the `align' argument in rollmean() or the nextfri() function in the
aggregate call.
hth,
Z
Any time series gurus out there? Be gentle. I'm an R beginner.
Thanx!
Bernard
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Re: [R] moving average method for time series objects
Schwarz,Paul wrote: Dear R-Help readers, I suspect that this question must be a FAQ, but my investigation of the archives has not been very revealing. Is there an R function for calculating moving averages of time series objects? library(gregmisc) ?running test - ts(rnorm(100)) test2 - running(test, fun=median, width=10) length(test2) [1] 91 you want fun=mean Kjetil -- Kjetil Halvorsen. Peace is the most effective weapon of mass construction. -- Mahdi Elmandjra __ [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
RE: [R] moving average method for time series objects
Paul Schwarz [EMAIL PROTECTED] wrote: Is there an R function for calculating moving averages of time series objects? Others have replied, but here's the simple answer for a trailing 5-day moving average, no non-standard packages needed: R x - 1:20 R filter(x, rep(1/5,5), sides=1) -- David Brahm ([EMAIL PROTECTED]) __ [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
Re: [R] moving average method for time series objects
Kjetil == Kjetil Brinchmann Halvorsen [EMAIL PROTECTED] on Fri, 24 Sep 2004 08:34:19 -0400 writes: Kjetil Schwarz,Paul wrote: Dear R-Help readers, I suspect that this question must be a FAQ, but my investigation of the archives has not been very revealing. Is there an R function for calculating moving averages of time series objects? Kjetil library(gregmisc) ?running test - ts(rnorm(100)) Kjetil test2 - running(test, fun=median, width=10) Kjetil length(test2) [1] 91 Kjetil you want fun=mean Note that really for - running mean, you should use filter() - running median, you use runmed() Greg's running() function is probably appropriate for anything else *but* these two cases... Martin Maechler __ [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
[R] moving average method for time series objects
Dear R-Help readers, I suspect that this question must be a FAQ, but my investigation of the archives has not been very revealing. Is there an R function for calculating moving averages of time series objects? Thank you for your time and patience. -Paul Paul Schwarz, Ph.D. Associate Director of Methodology Gartner Vendor Marketing Solutions, Custom Research +1 503 241 8036 x186 __ [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
Re: [R] moving average method for time series objects
Schwarz,Paul Paul.Schwarz at gartner.com writes: : : Dear R-Help readers, : : I suspect that this question must be a FAQ, but my investigation of the archives has not been very revealing. : Is there an R function for calculating moving averages of time series objects? : : Thank you for your time and patience. : : -Paul Check out: https://stat.ethz.ch/pipermail/r-sig-finance/2004q3/000104.html __ [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
RE: [R] Moving average
Wayne Jones wrote: Does anyone know if R has the functionality to calculate a simple moving average. I cant seem to find it in the help menu. does filter() do what you need? Morten __ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help
RE: [R] Moving average
Sorry, a neccesary addition: filter in library ts. Morten __ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help
RE: [R] Moving average
Or look at the 'running' function in the gregmisc package. -Greg -Original Message- From: Huntsinger, Reid [mailto:[EMAIL PROTECTED] Sent: Friday, March 07, 2003 10:13 AM To: 'Wayne Jones'; [EMAIL PROTECTED] Subject: RE: [R] Moving average Try filter in package ts. Reid Huntsinger -Original Message- From: Wayne Jones [mailto:[EMAIL PROTECTED] Sent: Friday, March 07, 2003 9:37 AM To: [EMAIL PROTECTED] Subject: [R] Moving average Hi, Does anyone know if R has the functionality to calculate a simple moving average. I cant seem to find it in the help menu. thanks, Wayne Dr Wayne R. Jones Statistician / Research Analyst KSS Group plc St James's Buildings 79 Oxford Street Manchester M1 6SS Tel: +44(0)161 609 4084 Mob: +44(0)7810 523 713 KSS Ltd A division of Knowledge Support Systems Group plc Seventh Floor St James's Buildings 79 Oxford Street Manchester M1 6SS England Company Registration Number 2800886 (Limited) 3449594 (plc) Tel: +44 (0) 161 228 0040 Fax: +44 (0) 161 236 6305 mailto:[EMAIL PROTECTED] http://www.kssg.com The information in this Internet email is confidential and may b... [[dropped]] __ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help LEGAL NOTICE\ Unless expressly stated otherwise, this message is... [[dropped]] __ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help
