Time Series Analysis (Moving Average Filters)

Description

This article describes several filters for the analysis of time series data, including:

• Simple Moving Average (SMA)
• Exponential Moving Average (EMA)
• Linear Regression Moving Average (LRMA)

Model theory

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Excel

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The moving average filters may be invoked from the Excel formula bar with the following function calls:

=mdTimeSeries_SMA(TimeSeriesData as Range, k as Integer)

=mdTimeSeries_EMA(TimeSeriesData as Range, alpha as Double)

=mdTimeSeries_LRMA(TimeSeriesData as Range, k as Integer)

Invoking the function with no arguments will print Help text associated with the model, including a link to this page.