At first, tests show that this function is faster than Matlab's "tsmovavg" function. But when you look at the result of this function, the output series needs to be moved by "floor( m /2 )". When this is taken into consideration, the entire function becomes much slower than Matlab's default function.
In addition, Matlab's tsmovavg function also takes the averages of multiple series simultaneously (matrices of m series X N data points)
The above was tested for "simple" moving averages.
02 May 2011
Automatic program to estimate the power spectral density with only statistically significant details
Author: Piet M T Broersen