+ Reply to Thread
Results 1 to 2 of 2

Time Series Smoothing No Look Ahead Bias

  1. #1
    Registered User
    Join Date
    05-28-2012
    Location
    United Kingdom
    MS-Off Ver
    Excel 2010
    Posts
    12

    Time Series Smoothing No Look Ahead Bias

    Hi All,

    Does anyone know any Excel functions other than a simple moving average that smooths time series data with:
    a) Zero or very little lag (unlike a moving average where you might have to look back for example 10 periods) and
    b) No look ahead bias (i.e. because I have live information the smoothing will be an ongoing function)

    Thanks

  2. #2
    Forum Expert shg's Avatar
    Join Date
    06-20-2007
    Location
    The Great State of Texas
    MS-Off Ver
    2003, 2010
    Posts
    40,678

    Re: Time Series Smoothing No Look Ahead Bias

    No low-pass filter can have zero lag, right? An exponential moving average is used in lieu of a straight moving average specifically for its lower lag.

    If you have data in A1:A??? and want a 10-period EMA, then in B10,

    =average(A1:A10)

    In B11 and copy down

    =2/(10+1) * A11 + (10-1)/(10+1) * B10
    Last edited by shg; 08-19-2012 at 03:53 PM.
    Entia non sunt multiplicanda sine necessitate

+ Reply to Thread

Thread Information

Users Browsing this Thread

There are currently 1 users browsing this thread. (0 members and 1 guests)

Bookmarks

Posting Permissions

  • You may not post new threads
  • You may not post replies
  • You may not post attachments
  • You may not edit your posts

Search Engine Friendly URLs by vBSEO 3.6.0 RC 1