MOVING AVERAGE

[ElectroLund]

Great contributions in this thread, everyone!  I too have been looking through the Advanced Analysis Library, thinking that surely there's a built-in function to do such a task.

One such is MedianFilter:

AnalysisLibErrType MedianFilter (double xArray[], ssize_t numberOfXAndYElements, ssize_t leftRank, ssize_t rightRank, double y[]);

This appears to do rolling filtration on windows of data, and even has the option to replace the incoming array:

J_i = {x_i–rl, x_i–rl+1, ..., x_i–1, x_i, x_i+1, ..., x_i+rr–1, x_i+rr},

Where rl is the left rank and rr is the right rank.