Moving Average/Moving Median
Moving median[edit | edit source]
From a statistical point of view, the moving average, when used to estimate the underlying trend in a time series, is susceptible to rare events such as rapid shocks or other anomalies. A more robust estimate of the trend is the simple moving median over n time points:
where the median is found by, for example, sorting the values inside the brackets and finding the value in the middle. For larger values of n, the median can be efficiently computed by updating an indexable skiplist.
Statistically, the moving average is optimal for recovering the underlying trend of the time series when the fluctuations about the trend are normally distributed. However, the normal distribution does not place high probability on very large deviations from the trend which explains why such deviations will have a disproportionately large effect on the trend estimate. It can be shown that if the fluctuations are instead assumed to be Laplace distributed, then the moving median is statistically optimal. For a given variance, the Laplace distribution places higher probability on rare events than does the normal, which explains why the moving median tolerates shocks better than the moving mean.
When the simple moving median above is central, the smoothing is identical to the median filter which has applications in, for example, image signal processing.
References[edit | edit source]
- G.R. Arce, "Nonlinear Signal Processing: A Statistical Approach", Wiley:New Jersey, USA, 2005.