Results 1 to 10 of about 171,053 (214)
arXiv, 2023 We consider the convergence of moving averages in the general setting of ergodic theory or stationary ergodic processes. We characterize when there is universal convergence of moving averages based on complete convergence to zero of the standard ergodic averages.
Adams, Terrence, Rosenblatt, Joseph
arxiv +3 more sources
Exponential moving average versus moving exponential average [PDF]
Math. Semesterber. 58 (2011), no. 1, 97-107, 2020 In this note we discuss the mathematical tools to define trend indicators which are used to describe market trends. We explain the relation between averages and moving averages on the one hand and the so called exponential moving average (EMA) on the other hand.
arxiv +5 more sources
arXiv, 2012 We show that the moving arithmetic average is closely connected to a Gauss-Seidel type fixed point method studied by Bauschke, Wang and Wylie, and which was observed to converge only numerically. Our analysis establishes a rigorous proof of convergence of their algorithm in a special case; moreover, limit is explicitly identified.
Bauschke, Heinz H. +2 more
arxiv +3 more sources
Vector Autoregressive Moving Average Model with Scalar Moving Average [PDF]
arXiv, 2019 We show Vector Autoregressive Moving Average models with scalar Moving Average components could be estimated by generalized least square (GLS) for each fixed moving average polynomial. The conditional variance of the GLS model is the concentrated covariant matrix of the moving average process.
arxiv +3 more sources
Optimizing the moving average [PDF]
The 2012 International Joint Conference on Neural Networks (IJCNN), 2012 This paper proposes a new and optimal moving average model that reduces the problems of alternative models. The random (noisy) nature of financial time series creates difficulties when modelling with any method. The most common linear model to deal with this issue of noise is the moving average.
Letchford, Adrian +2 more
openaire +2 more sources
Moving averages in the plane [PDF]
Illinois Journal of Mathematics, 2012 We study the almost everywhere behavior of the maximal operator associated to moving averages in the plane, both for Lebesgue derivatives and ergodic averages. We show that the almost everywhere behavior of the maximal operator associated to a sequence of moving rectangles vi + Qi, with (0,0) ∈ Qi, depends both on the way the rectangles are moved by vi
Moonens, Laurent, Rosenblatt, Joseph M.
openaire +2 more sources
On moving-average models with feedback [PDF]
Bernoulli, 2012 Moving average models, linear or nonlinear, are characterized by their short memory. This paper shows that, in the presence of feedback in the dynamics, the above characteristic can disappear.
Li, Dong, Ling, Shiqing, Tong, Howell
openaire +4 more sources
Market Timing with Moving Averages [PDF]
Sustainability, 2018 Consider using the simple moving average (MA) rule of Gartley to determine when to buy stocks, and when to sell them and switch to the risk-free rate. In comparison, how might the performance be affected if the frequency is changed to the use of MA calculations?
Ilomäki, Jukka +2 more
openaire +4 more sources
On a Moving Average with Internal Degrees of Freedom [PDF]
2022 International Conference on Electrical Engineering and
Photonics (EExPolytech), 2022 A new type of moving average is developed. Whereas a regular moving average (e.g. of price) has a built-in internal time scale (time-window, exponential weight, etc.), the moving average developed in this paper has the weight as the product of a polynomial by window factor.
arxiv +1 more source
Exponentially weighted moving average—Moving average charts for monitoring the process mean
PLOS ONE, 2020 This research aimed to propose a newly-mixed control chart called the Exponentially Weighted Moving Average-Moving Average Chart (EWMA-MA) to detect the mean change in a process underlying symmetric and asymmetric distributions. The performance of the proposed control chart are compared with Shewhart, MA, EWMA, MA-EWMA and EWMA-MA control charts by ...
Saowanit Sukparungsee +2 more
openaire +4 more sources