Moving average over time on data entering stochastically

Question

The examples for using MovingAverage mostly refer to data evenly spaced in time,such as stock values.  In typical physics data, events arrive random in time (e.g. radio active decay events, but also if acting in day trading on the stock market). I do not see how I can use the apparatus of MovingAverage and associated evaluations in this case. Do I not understand the function, or should I go ahead and invent my own functions?

Rom38 · Answer

By default the MovingAverage could be applied for 1-D lists but regarding to your case, you need make the TemporalData from your {t,y} list:
y= Table[RandomReal[{-1, 1}] + 5 Sin[i/(6 Pi)], {i, 1, 100}];
t = Table[i + RandomReal[{-0.3, 0.3}], {i, 1, 100}]; (*As you see, the timestamps contain random shifts*)
td = TemporalData[y, {t}];

ListPlot[{td, MovingAverage[td, 5]},
 PlotMarkers -> {Automatic, None},
 Joined -> {False, True},
 ImageSize -> 800,
 PlotStyle -> {Directive[Lighter[Blue, 0.5]], 
   Directive[Red, Thick]}]

Moving average over time on data entering stochastically

One Answer

Add your own answers!

Ask a Question