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How to calculate moving average in a matrix?

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Andrea Finocchiaro
Andrea Finocchiaro 2015 年 10 月 8 日
コメント済み: Image Analyst 2017 年 4 月 7 日
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

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Joseph Cheng
Joseph Cheng 2015 年 10 月 8 日
is this a window of 120x9 or are you looking to perform the averaging window per column.
Andrea Finocchiaro
Andrea Finocchiaro 2015 年 10 月 8 日
averaging window per column Joseph

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採用された回答

Image Analyst
Image Analyst 2015 年 10 月 8 日
編集済み: Image Analyst 2015 年 10 月 8 日
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.

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Andrea Finocchiaro
Andrea Finocchiaro 2015 年 10 月 8 日
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).

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その他の回答 (1 件)

Grzegorz Knor
Grzegorz Knor 2017 年 4 月 7 日
From MATLAB R2016a there are functions movmean and movvar which do not require additional toolboxes.

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Image Analyst
Image Analyst 2017 年 4 月 7 日
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.

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