Y = wmean(X,RANGE,BETA)
X
[ tseries ] - Input tseries object whose data will be averaged column by column.
RANGE
[ numeric ] - Date range on which the weighted average will be computed.
BETA
[ numeric ] - Discount factor; the last observation gets a weight of of 1, the N-minus-1st observation gets a weight of BETA
, the N-minus-2nd gets a weight of BETA^2
, and so on.
Y
[ numeric ] - Array with weighted average of individual columns; the sizes of Y
are identical to those of the input tseries object in 2nd and higher dimensions.