移动平均和指数平滑

    xiaoxiao2021-03-26  19

    (1)简单移动平均 移动平均在TTR包中  简单移动平均 SMA(x, n = 10, ...) 指数移动平均 EMA(x, n = 10, wilder = FALSE, ratio = NULL, ...)         For EMA, wilder=FALSE (the default) uses an exponential smoothing ratio of 2/(n+1), while wilder=TRUE uses Welles Wilder's exponential smoothing ratio of 1/n. 双指数移动平均 DEMA(x, n = 10, v = 1, wilder = FALSE, ratio = NULL) 加权移动平均  WMA(x, n = 10, wts = 1:n, ...) (2)HoltWinters指数平滑 HoltWinters(x, alpha = NULL, beta = NULL, gamma = NULL,             seasonal = c("additive", "multiplicative"),             start.periods = 2, l.start = NULL, b.start = NULL,             s.start = NULL,             optim.start = c(alpha = 0.3, beta = 0.1, gamma = 0.1),             optim.control = list()) alpha为水平项,beta为趋势项,gamma为季节项。此指数平滑需设置初始值。l.start为水平初始值,b.start为趋势初始值,s.start为季节初始值。选择季节选项有additive和multiplicative. HoltWinters也可做季节分解( 看季节趋势分解
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