Moving Average

Given a sequence , an -moving average is a new sequence  defined from the  by taking the arithmetic mean of subsequences of  terms,

(1)

So the sequences  giving -moving averages are

			(2)
			(3)

and so on. The plot above shows the 2- (red), 4- (yellow), 6- (green), and 8- (blue) moving averages for a set of 100 data points.

Moving averages are implemented in the Wolfram Language as MovingAverage[data, n].

REFERENCES:

Kenney, J. F. and Keeping, E. S. "Moving Averages." §14.2 in Mathematics of Statistics, Pt. 1, 3rd ed. Princeton, NJ: Van Nostrand, pp. 221-223, 1962.

Whittaker, E. T. and Robinson, G. "Graduation, or the Smoothing of Data." Ch. 11 in The Calculus of Observations: A Treatise on Numerical Mathematics, 4th ed. New York: Dover, pp. 285-316, 1967.