smooth_dec {noisyCE2}

Decreasing first-order smoothing rule

Description

Decreasing smoothing rule

$x_{t+1}:=a_t\,x_t + (1-a_t)\,x_{t-1}$

where

$a_t:= b\,\left(1-\left(1-\frac{1}{t}\right)^q\right)$

for some $0.7\leq b\leq1$ and some $5\leq q\leq10$.

Usage

smooth_dec(x, xt, b, qu)

Arguments

x

numeric value of the last value of the parameter.

xt

numeric vector of past values of the parameter (time series).

b

smoothing parameter $b$.

qu

smoothing parameter $q$.

Value

A numeric vector of updated parameters.

See Also

Other smoothing rules: smooth_lin()