Moving average smoothing

The mas() function returns a simple moving average smoother of the provided time series.

Usage

mas(x, order)

Arguments

x

A numeric vector or univariate time series.

order

Order of moving average smoother.

Value

Numerical time series of length length(x)-order+1 containing the simple moving average smoothed values.

Details

The moving average smoother transformation is given by $$(1/k) * ( x[t] + x[t+1] + ... + x[t+k-1] )$$ where k=order, t assume values in the range 1:(n-k+1), and n=length(x). See also the ma of the forecast package.

References

R.H. Shumway and D.S. Stoffer, 2010, Time Series Analysis and Its Applications: With R Examples. 3rd ed. 2011 edition ed. New York, Springer.

Examples

# Load change-point example data
data(examples_changepoints)

# Use a simple example
dataset <- examples_changepoints$simple
head(dataset)
#>   serie event
#> 1  0.00 FALSE
#> 2  0.25 FALSE
#> 3  0.50 FALSE
#> 4  0.75 FALSE
#> 5  1.00 FALSE
#> 6  1.25 FALSE

# Compute a 5-point moving average
ma <- mas(dataset$serie, 5)