[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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