[R] smooth function advice

[Bert Gunter]

RSiteSearch("ewma",rest="func") 

would have told you there already exists an ewma implementation in the qcc
package. 

-- Bert Gunter 

-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On
Behalf Of tolga.i.uzuner at jpmorgan.com
Sent: Friday, October 31, 2008 10:04 AM
To: tolga.i.uzuner at jpmorgan.com
Cc: r-help at r-project.org
Subject: Re: [R] smooth function advice

Thanks to Mark Leeds for an implementation of exponentially weighted 
moving averages as follows which solves this problem. This also resmooths 
recursively.


ewma<-function(x,lambda = .5, init = (1-lambda)*.raw[good.ind][1],order=1) 
{
.raw <- unclass(coredata(x))
good.ind <- !is.na(.raw)  # determine good values
if(order>1)
        ewma(ewma(x,lambda,init,order=1),lambda,init,order=order-1)
else {
   # work with 'non-zoo' data for speed and then recombine
   .raw[good.ind] <- filter(lambda * .raw[good.ind], filter=(1-lambda),
       method='recursive',init=coredata(init))
   zoo(.raw, index(x)) # create zoo object for return
        }
}





Tolga I Uzuner/JPMCHASE 
30/10/2008 15:36

To
r-help at r-project.org
cc

Subject
smooth function advice





Dear R Users,

I am looking for a smoothing function with the following characteristics 
for a time series of data:
- at each date, should only use data up to that date (so, right aligned 
and not centered)
- should return a smoothed series of length equal to the original time 
series:
        - for a one-day time series, just returns that day
        - this means the front part of the series will not be as smooth... 
that's  ok
        - if the original time series has length 10, the returned smoothed 
time series has length 10 
- there should be some control over smoothness
Any suggestions for a specific approach/package in R ?

Thanks,
Tolga




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