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smoothts

smoothts is not recommended. Use smoothdata instead.

Description

example

output = smoothts(input) smooths the input data using the default Box method with window size, wsize, of 5.

output = smoothts(input,'b',wsize) smooths the input data using the Box (simple, linear) method. wsize specifies the width of the box to be used.

output = smoothts(input,'g',wsize,stdev) smooths the input data using the Gaussian window method.

output = smoothts(input,'e',n) smooths the input data using the Exponential method. n can represent the window size (period length) or alpha. If n > 1, n represents the window size. If 0 < n < 1, n represents alpha, where

α=2wsize+1.

If input is a financial time series object, output is a financial time series object identical to input except for contents. If input is a row-oriented matrix, output is a row-oriented matrix of the same length.

example

output = smoothts(input,method) smooths the input data using a smoothing method.

example

output = smoothts(___,wsize) smooths the input data using a smoothing method where wsize specifies the width of the box to be used.

example

output = smoothts(___,stdev) represents the standard deviation of the Gaussian window.

example

output = smoothts(___,n) smooths the input data using the Exponential method ('e'). n can represent the window size (period length) or alpha. If n > 1, n represents the window size. If 0 < n < 1, n represents alpha, where

α=2wsize+1.

Examples

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  1. Create a financial times series (fints) object using dates and data.

    data = [1:6]';
    dates = [today:today+5]';
    tsobj = fints(dates, data)
    Warning: FINTS is not recommended. Use TIMETABLE instead. For more information, see Convert Financial Time Series Objects (fints) to Timetables. 
    > In fints (line 169) 
     
    tsobj = 
     
        desc:  (none)
        freq:  Unknown (0)
    
        {'dates:  (6)'}    {'series1:  (6)'}
        {'01-Sep-2021'}    {[            1]}
        {'02-Sep-2021'}    {[            2]}
        {'03-Sep-2021'}    {[            3]}
        {'04-Sep-2021'}    {[            4]}
        {'05-Sep-2021'}    {[            5]}
        {'06-Sep-2021'}    {[            6]}
  2. Use smoothts to smooth the data.

    output = smoothts(tsobj)
     output = 
     
        desc:  Box-smoothed of 
        freq:  Unknown (0)
    
        {'dates:  (6)'}    {'series1:  (6)'}
        {'01-Sep-2021'}    {[       1.2000]}
        {'02-Sep-2021'}    {[       2.0000]}
        {'03-Sep-2021'}    {[       3.0000]}
        {'04-Sep-2021'}    {[            4]}
        {'05-Sep-2021'}    {[       3.6000]}
        {'06-Sep-2021'}    {[            3]}

Input Arguments

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Input data, specified as a fints object or a row-oriented matrix. In a row-oriented matrix, each row represents an individual set of observations.

Data Types: object | double

Smoothing method, specified as a scalar logical character vector with one of the following values:

  • 'b' — Box

  • 'e' — Exponential

  • 'g' — Gaussian

Data Types: char

Window size, specified as a scalar numeric.

Note

The wsize input argument can only be used when the method is 'b' (Box) or 'g' (Gaussian).

Data Types: double

Standard deviation of the Gaussian window, specified as a scalar numeric.

Note

The stdev input argument can only be used when the method is 'g' (Gaussian).

Data Types: numeric

Window size or exponential factor depending upon value, specified as a scalar numeric with one of the following values:

  • n > 1 (window size) or period length

  • n < 1 and > 0 (exponential factor: alpha)

  • n = 1 (either window size or alpha)

Note

The n input argument can only be used when the method is 'e' (exponential).

Data Types: double

Output Arguments

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Output, returned as a fints object or row-oriented matrix.

If input is a financial time series object, output is a financial time series object identical to input except for contents. If input is a row-oriented matrix, output is a row-oriented matrix of the same length.

Version History

Introduced before R2006a