Re: [Gretl-users] EWMA parameter estimation in gretl

On Thu, 2 Feb 2006, Seung Hun Han wrote: It's not something I've used, or something that gretl is set up to handle automatically. You might look at http://www.itl.nist.gov/div898/handbook/pmc/section3/pmc324.htm The following gretl script reproduces the figure shown in that tutorial (where "raw.txt" is a file containing nothing but the "sample data" numbers from that page (in a column). open raw.txt setobs 1 1 --time-series genr x = v1 scalar EWMA0 = 50 scalar s = 2.0539 scalar lambda = .3 scalar s_ewma = sqrt((lambda/(2-lambda)) * s^2) series EWMA = EWMA0 EWMA = lambda * x + (1-lambda)*EWMA(-1) scalar k = 3 series UCL = EWMA0 + k*s_ewma series LCL = EWMA0 - k*s_ewma fig1 <- gnuplot x EWMA UCL LCL time fig1.show Allin Cottrell