Estimating moving averages from moving averages

drgs

New Member
#1
Hi,

Say I have two exponentially moving averages, one with alpha 0.99 (A) and one with alpha 0.95 (B), which I use on some time series data, ie. B favours more recent observations than A.

Can I somehow use these two figures to estimate what B was at x iterations ago? I don't want to save B for every iteration for x steps back in time, but I would rather try to estimate it.

Thanks,
 

drgs

New Member
#5
I want to calculate 3 values:
current EMA 0.99
current EMA 0.95
EMA 0.95 at an earlier time, estimated from the two values above