[Gretl-users] exponential moving average

Dear Allin I again insist on the exponential moving average calculation. The calculation done by Gretl for the exponential moving average should be slightly changed at the beginning of the series calculation according to me: We have a = 0.1 and Y(1) = 362 (first observation) Y(2) = 381 (second observation) The starting value in our case is 351 = EMA(0) = mean of the whole time series. EMA(1) = aY(1) + (1-a)EMA(0) = 0.1*362 + 0.9*351 = 352.10. --> EMA(1) is the one-step forecast done in period 1 for period 2 = Y^(1) EMA(2) = aY(2) + (1-a)EMA(1) = 0.1*381 + 0.9*352.10 = 354.99 --> EMA(2) is the one-step forecast done in period 2 for period 3= Y^(2) Gretl calculation is: EMA(1) = 351 EMA(2) = aY(2) + (1-a)EMA(1) = 0.1*381 + 0.9*351 = 354 By doing so the observed value in period 1, Y(1) = 362 is not used at all. This information is simply ignored! By using the Gretl values I obtain a lower SSE as using my calculations (done in Excel). I don't know whether it is always like this or it is due to a particular example. I want to choose the optimal parameter a that minimizes the SSE. Would it be possible to include these feature within the menu without having to run a script? I think about users like me who are not familiar with defining functions and using BFGSmax. Thank you in advance Raul Gimeno -----Ursprüngliche Nachricht----- Von: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] Im Auftrag von gretl-users-request(a)lists.wfu.edu Gesendet: Donnerstag, 24. September 2015 18:00 An: gretl-users(a)lists.wfu.edu Betreff: Gretl-users Digest, Vol 104, Issue 35 Send Gretl-users mailing list submissions to gretl-users(a)lists.wfu.edu To subscribe or unsubscribe via the World Wide Web, visit http://lists.wfu.edu/mailman/listinfo/gretl-users or, via email, send a message with subject or body 'help' to gretl-users-request(a)lists.wfu.edu You can reach the person managing the list at gretl-users-owner(a)lists.wfu.edu When replying, please edit your Subject line so it is more specific than "Re: Contents of Gretl-users digest..." Today's Topics: 1. Re: exponential moving average (Allin Cottrell) ---------------------------------------------------------------------- Message: 1 Date: Thu, 24 Sep 2015 10:11:42 -0400 (EDT) From: Allin Cottrell <cottrell(a)wfu.edu&gt; To: Gretl list <gretl-users(a)lists.wfu.edu&gt; Subject: Re: [Gretl-users] exponential moving average Message-ID: <alpine.LNX.2.20.3.1509240907410.1399(a)localhost.localdomain&gt; Content-Type: text/plain; charset=US-ASCII; format=flowed On Thu, 24 Sep 2015, Raul Gimeno wrote: As Jack said, that's now done in CVS. It will be in the snapshots shortly. The more elaborate filters (e.g. Butterworth, Polynomial trend) have a Help button in the set-up dialog box which gives some details. I think the best thing here might be to add some help text for the EMA also. There seems to be a difference over dating assumptions here. What gretl does is to put the initializer for the EMA into the first observation of the output series (which gretl calls t = 1, there's no t = 0). Then the first actual computed value is EMA(2) = a*Y(2) + (1-a)*EMA(1). It seems you are placing the EMA initializer before the data start, and then doing the first EMA calculation using Y(1). So far as I can tell, the procedure gretl uses is that given by NIST (http://www.itl.nist.gov/div898/handbook/pmc/section3/pmc324.htm ) but I'm not sure if there's a truly canonical approach here. (It's the sort of thing that won't make any difference asymptotically.) The BFGSmax function can do this sort of thing. See the chapter on Numerical methods in the User's Guide. Allin Cottrell ------------------------------ _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users End of Gretl-users Digest, Vol 104, Issue 35 ********************************************