View source: R/DSF_ExponentialMA.R
DSF_ExponentialMA | R Documentation |
Applies an exponential moving average to components of a data stream.
DSF_ExponentialMA(dsd = NULL, dim = NULL, alpha = 0.5)
dsd |
The input stream as an DSD object. |
dim |
columns to which the filter should be applied. Default is all columns. |
alpha |
smoothing coefficient in [0, 1]. Larger means discounting older observations faster. |
The exponential moving average is calculated by:
S_t = α Y_t + (1 - α)\; S_{i-1}
with S_0 = Y_0.
An object of class DSF_ExponentialMA
(subclass of DSF and DSD).
Michael Hahsler
Other DSF:
DSF_Convolve()
,
DSF_Downsample()
,
DSF_Func()
,
DSF_Scale()
,
DSF_dplyr()
,
DSF()
# Smooth a time series data(presidents) stream <- data.frame( presidents, .time = time(presidents)) %>% DSD_Memory() plot(stream, dim = 1, n = 120, method = "ts", main = "Original") smoothStream <- stream %>% DSF_ExponentialMA(alpha = .7) smoothStream reset_stream(smoothStream) plot(smoothStream, dim = 1, n = 120, method = "ts", main = "With ExponentialMA(.7)")
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