How to calculate moving average in a matrix?

Asked by Andrea Finocchiaro on 8 Oct 2015

Latest activity Commented on by Image Analyst on 7 Apr 2017

96 views (last 30 days)

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 Comments

Joseph Cheng on 8 Oct 2015

is this a window of 120x9 or are you looking to perform the averaging window per column.

Andrea Finocchiaro on 8 Oct 2015

averaging window per column Joseph

2 Answers

Link

Answer by Image Analyst on 8 Oct 2015

Edited by Image Analyst on 8 Oct 2015

Accepted Answer

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 Comment

Andrea Finocchiaro on 8 Oct 2015

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).

Link

Answer by Grzegorz Knor on 7 Apr 2017

From MATLAB R2016a there are functions movmean and movvar which do not require additional toolboxes.

1 Comment

Image Analyst on 7 Apr 2017

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.

You are now following this question

Andrea Finocchiaro (view profile)