Have you looked at SMA/EMA from the TTR package? That's a pretty quick
implementation.
runmean from caTools is even better for the SMA but I don't think there's an
easy way to turn that into an EWMA.
Hope this helps,
Michael Weylandt
On Fri, Sep 2, 2011 at 12:43 PM, Noah Silverman <noahsilver...@ucla.edu>wrote:
> Hello,
>
> I need to calculate a moving average and an exponentially weighted moving
> average over a fairly large data set (500K rows).
>
> Doing this in a for loop works nicely, but is slow.
>
> ewma <- data$col[1]
> N <- dim(data)[1]
> for(i in 2:N){
> data$ewma <- alpha * data$ewma[i-1] + (1-alpha) * data$value[i]
> }
>
>
> Since the moving average "accumulates" as we move through the data, I'm not
> sure on the best/fastest way to do this.
>
> Does anyone have any suggestions on how to avoid a loop doing this?
>
>
>
>
> --
> Noah Silverman
> UCLA Department of Statistics
> 8117 Math Sciences Building #8208
> Los Angeles, CA 90095
>
>
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>
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