If anyone knows how to write a mathematica code for n-level exponential moving average or someone has written already the code ?


Just type ExponentialMovingAverage in the Documentation Center (it is part of the language)

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  • $\begingroup$ there is 2nd and 3rd level $\endgroup$ – Augustus May 24 '14 at 18:17
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    $\begingroup$ @Augustus - I am not aware of 2nd or 3rd level exponential averaging. Even this "simple" form is dangerous enough because everything depends on the right choice of the smoothing factor (the second argument) which is purely heuristic. Exponential averaging is widely used in economic forecasting (simply google "forecasting"), but you need to constantly compare the actual development with the forecasted to, hopefully, find a meaningful smoothing factor. $\endgroup$ – eldo May 24 '14 at 19:17

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