Re: [Gretl-users] exponential moving average
On Fri, 25 Sep 2015, Raul Gimeno wrote:
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 [...]
OK, I've taken another look at the literature and I accept your point:
it seems to be more common, when using the Roberts EMA formulation, to
take the initializer as a "pre-sample" value and therefore to start
calculating the filter at observation 1. The gretl code is now
modified accordingly in CVS and snapshots.
A couple of other modifications:
(1) I see that it's quite common for the EMA initializer to be an "a
priori" value. That's now supported in the EMA dialog, and also in the
movavg() function which now has an optional 4th argument for supplying
an initial value.
(2) The EMA dialog now has a Help button which gives some details and
refers to the movavg() function.
Allin Cottrell