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Sliding Time Window Function

  • To: mathgroup at smc.vnet.net
  • Subject: [mg122110] Sliding Time Window Function
  • From: northern_flicker <max_kip at hotmail.com>
  • Date: Fri, 14 Oct 2011 05:54:30 -0400 (EDT)
  • Delivered-to: l-mathgroup@mail-archive0.wolfram.com

Dear Forum

This problem is quite similar to a moving average, but it has two differences, which I am struggling to overcome.  It is applicable to a heterogeneous time series with dependent x and y values, i.e., {time, x, y}, where the temporal variations in x and y are of interest.

1) It would be preferable to have a sliding window based on a time interval rather than the number of data, e.g., 0.5 s, 5 min., 50 years, etc.
2) Instead of a moving average I would like to apply some expression over the moving time interval that uses both x and y, e.g.,

Total[Cos(x)*Sin(y)]/Total[Cos(x)*Cos(y)]

A fresh approach would be much appreciated



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