[R-SIG-Finance] how to smooth timeseries without the lagging?

michael.sankowski at gmail.com michael.sankowski at gmail.com
Sat Jul 25 16:28:30 CEST 2009


Also try MESA. I was suppposed to do this for josh but have been on other projects. 
Sent via BlackBerry from T-Mobile

-----Original Message-----
From: Sean Carmody <seancarmody at gmail.com>

Date: Sat, 25 Jul 2009 19:56:59 
To: Josuah Rechtsteiner<rechtsteiner at bgki.net>
Cc: <r-sig-finance at stat.math.ethz.ch>
Subject: Re: [R-SIG-Finance] how to smooth timeseries without the lagging?


Or a Henderson filter. If you have a filter that looks forward as well as
back, it will not have the lag effect. Then it'll need special treatment at
the end of the series.

(Sorry for the double email Josuah).

Sean.

On Sat, Jul 25, 2009 at 7:12 PM, Josuah Rechtsteiner
<rechtsteiner at bgki.net>wrote:

> maybe kalman filter is what you are looking for.
>
>
>
> Am 25.07.2009 um 05:44 schrieb Michael:
>
>
>  Hi all,
>>
>> If I use a moving average, it will smooth the choppy time series, but
>> it will lead to lagging...
>>
>> How do I smooth timeseries without the lagging effect?
>>
>> Thanks!
>>
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-- 
Sean Carmody

The Stubborn Mule
http://www.stubbornmule.net
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