How to calculate moving average in a matrix?

14 次查看(过去 30 天)
Hi Guys, I have got a matrix :378x9. I need to calculate the moving average with a window size of 120(starting from row one). Can somebody help me please? By the way, i need to do it also for the covariance(i mean,"A MOVING COVARIANCE). Thank you very much Andrea
  2 个评论
Joseph Cheng
Joseph Cheng 2015-10-8
is this a window of 120x9 or are you looking to perform the averaging window per column.

请先登录,再进行评论。

采纳的回答

Image Analyst
Image Analyst 2015-10-8
编辑:Image Analyst 2015-10-8
Try conv2:
kernel = ones(120,1)/120;
output = conv2(yourSignal, kernel, 'valid');
Since the window does not leave the boundaries of your signal, of course the output signal will not have as many elements as your input signal.
  1 个评论
Andrea Finocchiaro
Andrea Finocchiaro 2015-10-8
Thank you very much,your code runs very good! Do you think is possible to do the same also to the same for the covariance? I mean to compute the covariance matrix with a window of 120 months?A kind of "moving" covariance . I need these computation because I am working with portdolio optimization(like Markowitz).

请先登录,再进行评论。

更多回答(1 个)

Grzegorz Knor
Grzegorz Knor 2017-4-7
From MATLAB R2016a there are functions movmean and movvar which do not require additional toolboxes.
  1 个评论
Image Analyst
Image Analyst 2017-4-7
True, and it offers some edge handling options ('shrink', 'discard', 'fill') that conv2() does not have.
conv2() also does not require any toolboxes because it's in base MATLAB.

请先登录,再进行评论。

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by