Exponentially Weighted Moving Models

arXiv:2404.08136v1 Announce Type: cross
Abstract: An exponentially weighted moving model (EWMM) for a vector time series fits a new data model each time period, based on an exponentially fading loss function on past observed data. The well known and widely used exponentially weighted moving average (EWMA) is a special case that estimates the mean using a square loss function. For quadratic loss functions EWMMs can be fit using a simple recursion that updates the parameters of a quadratic function. For …

abstract arxiv case data data model eess.sp function loss math.oc mean moving q-fin.cp series stat.co stat.ml time series type vector