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Practical Time Series Analysis by Dr. PKS Prakash, Dr. Avishek Pal

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Weighted moving average

In the previous sections, we expressed moving averages of the form as weighted sum of observations from the original time series. We saw how the weights drop for observations far away from the time index at which the MA is being computed. The notion of weighted moving averages, which is symmetric, can be generalized for any time series application as follows:

Where the weights

For a simple the weights are. It has been ...

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