/* (Generalized) Weighted Moving Average GWMA(w) given a weight vector. */
new; cls;
let data[50,1]=
      60
      61
      60
      62
      60
      63
      64
      65
      69
      70
      69
      66
      64
      64
      62
      64
      65
      55
      53
      57
      60
      58
      63
      63
      63
      68
      69
      69
      68
      69
      70
      67
      66
      67
      68
      69
      69
      77
      80
      80
      78
      76
      76
      72
      71
      70
      73
      71
      78
      80
;
data=rev(data);               /* original data in reverse order */
t=seqa(1,1,rows(data));

library pgraph;
graphset;
_pltype=6;
_plegctl=1;
_plegstr="actual\000WMA";
title("Weighted Moving Average");
w={1,2,4,8,16,32};
xy(t,data~gwma(data,w));




proc gwma(x,w);
   local k,m,i;
   w=w/sumc(w);             /* scaled */
   k=rows(w);
   m=zeros(rows(x),cols(x));
   i=k;
   do while i<=rows(x);
      m[i,.]=w'x[i-k+1:i,.];
      i=i+1;
   endo;
   m[1:k-1,.]=miss(m[1:k-1,.],0);
   retp(m);
endp;