On Tue, 23 Jun 2009 10:20:52 -0400
Kyle Schaffrick <[email protected]> wrote:
>
> On Mon, 22 Jun 2009 23:36:25 -0700 (PDT), Sean Devlin
> <[email protected]> wrote:
> > Hey all,
> > Does anyone know of a moving window function? I'm curious if there
> > are any tools like this for digital signals processing, 30-day
> > moving averages, etc.
>
> If you need weighted moving averages, this is a tad ugly but seems to
> work ..
>
Okay it is still a tad ugly but hopefully now it won't be because
the blasted mail client mutilated it :)
(defn weighted-moving-average*
"Generate a lazy sequence consisting of weighted moving averages
over the pre-partitioned input sequence. The weights parameter
should be a sequence of weights the same length as the partition
size."
[weights input]
(lazy-seq
(when-let [input (seq input)]
(let [weight-sum (apply + weights)
weighted-input-sum (apply + (map * weights
(first input)))]
(cons (/ weighted-input-sum weight-sum)
(weighted-moving-average* weights (rest input)))))))
(defn weighted-moving-average
"Generate a lazy sequence consisting of weighted moving averages
over the input sequence. The weighting is given by weight-fn, having
a domain 0..1 which will be scaled across win-size elements to
calculate the weighting."
[weight-fn win-size input]
(let [weight-samples (reverse (for [t (range 1 (inc win-size))]
(/ t win-size)))
weights (map weight-fn weight-samples)]
(weighted-moving-average*
weights (partition win-size 1 input))))
>
> -Kyle
>
>
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