A 30-day moving average turns a one day spike of magnitude X into a sudden sustained increase of X/30 that suddenly disappears 30 days later
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Replying to @avibryant
@avibryant robust statistics are highly underappreciated.1 reply 0 retweets 1 like -
Replying to @j_houg
@j_houg@avibryant "robust moving average" has a tonne of hits — which ones should I read?1 reply 0 retweets 0 likes -
Replying to @noelwelsh
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@noelwelsh@j_houg ways I like to smooth: LOESS, which is a moving regression; EWMA (which can be computed streaming & in parallel)1 reply 1 retweet 8 likes
. @noelwelsh @j_houg and L1TF and variants, which efficiently fit a piecewise linear model (see http://avibryant.github.io/l1tf/ for a demo)
8:30 AM - 3 Apr 2015
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