n = 100;
X = normrnd(0,1,n,1);

w = ones(5,1);
w = w/sum(w);
M = 2; 

m = X*0;
for t = (M + 1):(n-M),
   m(t) = sum( X((t-M):(t+M)).*w); 
  
end

plot(X)
  hold on
plot(m,'r');