SMOOTH

Peter J. Brockwell, Richard A. Davis and R. J. Hyndman
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Peter J. Brockwell: Colorado State University, Department of Statistics
Richard A. Davis: Colorado State University, Department of Statistics

Chapter 3 in ITSM: An Interactive Time Series Modelling Package for the PC, 1991, pp 57-60 from Springer

Abstract: Abstract To run the program SMOOTH, type SMOOTH↩. After entering the appropriate graphics code number you will be asked to specify the file name of the input series, {X t , t = 1,…, n}, which is to be smoothed. The program allows you to compute, plot and file the values of the smoothed series, $$\{ {\hat m_t},t = 1,...,n\}$$ which can be specified either as a symmetric moving average, $${\hat m_t} = \mathop \sum \limits_{j = - q}^q a(j){X_{t - j}},t = 1,...,n$$ where X t := X1 for t n, or a one-sided exponentially weighted moving average defined by the recursions, $${\hat m_1} = {X_1}$$ and $${\hat m_t} = a{X_t} + (1 - a){\hat m_{t - 1}},t = 2,...,n$$ where a is a specified smoothing constant (0 ≤ a ≤ 1).

Date: 1991
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DOI: 10.1007/978-1-4612-3116-5_3

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