Weighted Moving Average

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Weighted Moving Average

An average in which some values count for more than others, and in which less recent values are dropped off the average. For example, if an index is weighted for prices over the previous 20 days, this means that the average price of the stocks will move more when the values with higher price move and values are removed from the average after 20 days have elapsed. This helps correct for both outdated information and the fact that averages tend to be affected by extreme values.
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The estimates that used the weighted moving averages with [beta] = 0.3 yield smaller RMSPEs than those used the 5-point moving averages for four of the five lines.
The significantly lower estimated loss ratios reflect the combined effects of estimating loss ratios using the weighted moving averages and the adjustments made for the catastrophic losses.
Summary Statistics of Forecasting Errors from Weighted Moving Averages and 5-Point Moving Averages [Forecast errors of normal losses are measured in millions of dollars] A.
As with the equally weighted moving averages, the parameter u is assumed to equal zero.
This concept is illustrated in Chart 2, which plots time series of value-at-risk measures using exponentially weighted moving averages
We begin by explaining the three most common categories of value-at-risk models--equally weighted moving average approaches, exponentially weighted moving average approaches, and historical simulation approaches.
The exponentially weighted moving average, (EWMA), has found applications in a number of different areas.
Roberts[7] is often credited for first suggesting the use of an exponential weighted moving average, EWMA, as a statistic for a control chart (although he used the term geometric moving average).
Crowder, S.V., "Average run lengths of exponentially weighted moving average control charts", Journal of Quality Technology, Vol.
Weighted moving averages. The technique that offers a significant opportunity for cost savings in hematology also involves a conceptual leap from what has been standard in the past.
Weighted moving averages anchors the validity of the indices by referencing one primary measurement, hemoglobin, to a defined calibration event.
Controversy still colors the subject of weighted moving averages. Some studies, concluding that stabilized whole blood controls are better at separating calibration change from patient variation, recommend that they be used in tandem with weighted moving averages.7 In addition, the system cannot be used for process control lf leukocyte and platelet counts because of the very high physiologic variability of these analytes.

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