StatTimeSerAnalysis.MovingAverage Method

function MovingAverage(const Y: TVec; const N: Integer; const M: TVec; out Index: Integer; const Centered: Boolean): Double;

Single moving average.

#	Name	Description
1	Y	Sample data.
2	N	Number of elements in period.
3	M	Smoothed data.
4	Index	Index of first value in smoothed data.
5	Centered	If true, a centered moving average is perfomed.

Returns: Double - MSE.

Remarks:

Performs single moving average smoothing on data Y. General equation for moving average smoothing is:

M[i] =\cfrac{1}{N} \left(X[i]+X[i-1]+\cdots+X[i-N+1] \right) \quad , \quad N-1\leq i \leq X.Length

where N indicates number of points in period and X.Length data sample size. When using single moving average smoothing, bear in mind that when used as forecasts for the next period, single moving average is not able to cope with a significant trend.

Examples

Uses MtxExpr, StatTimeSerAnalysis, Series, TeEngine;
procedure Example(Series1,Series2: TLineSeries);
var ts,Mv: Vector;
FirstIndex: Integer;
begin
    ts.LoadFromFile('testdata.vec');
    DrawValues(ts,Series1); // draw original time series
    MovingAverage(ts,12,Mv,FirstIndex,True);
    DrawValues(Mv,Series2,FirstIndex); // draw MA over original time series
end;