StatTimeSerAnalysis.MovingAverage Function

Single moving average.

Pascal

function MovingAverage(const Y: TVec; const N: Integer; const M: TVec; out Index: Integer; const Centered: boolean = true): double;

File

StatTimeSerAnalysis

Parameters

Parameters	Description
Y	Sample data.
N	Number of elements in period.
M	Smoothed data.
Index	Index of first value in smoothed data.
Centered	If true, a centered moving average is perfomed.

Returns

MSE.

Description

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

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.

Example

Load sample time series, perform centered moving average smoothing with period 12 (yearly average) and finally plot the results using TChart.

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;

#include "MtxExpr.hpp"
#include "Math387.hpp"
#include "StatTimeSerAnalysis.hpp"
void __fastcall Example(TLineSeries* Series1, TLineSeries* Series2);
{
    sVector ts,Mv;
    int FirstIndex;

    ts.LoadFromFile("aerosol_particles.vec");
    DrawValues(ts,Series1,0.0,1.0); // draw original time series
    MovingAverage(ts,12,Mv,FirstIndex,true);
    DrawValues(Mv,Series2,FirstIndex,1.0); // draw MA over original time series
}

StatTimeSerAnalysis, Functions, Example

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