[R-sig-finance] Question about Exponential Weighted Moving Average
(EWMA) in rmetrics.
German G. Creamer
gcreamer at cs.columbia.edu
Sun Nov 21 06:55:54 CET 2004
Please disregard the previous message. I realized that in the emaTA
equation,
a lambda greater than one is used as a lag of n periods to calculate the
decay parameter. A lambda less than one is used directly as the decay
parameter.
So, the functions are consistent.
Thanks anyway,
German
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