movingaveWgt#

Purpose#

Computes weighted moving average of a series

Format#

y = movingaveWgt(x, d, w)#

Parameters:

x (NxK matrix) – data
d (scalar) – order of moving average.
w (dx1 vector) – weights.

Returns:

y (NxK matrix) – filtered series. The first \(d-1\) rows of x are set to missing values.

Remarks#

movingaveWgt() is essentially a smoothing time series filter with weights. The moving average as performed by column and thus it treats the NxK matrix as K time series of length N.