Upgrading from:

Statistics`DataSmoothing`

MovingAverage and MovingMedian have been added to the builtin Mathematica kernel.
ExponentialSmoothing is replaced by ExponentialMovingAverage.

MovingAverage and MovingMedian are now part of the built-in Mathematica kernel:

Version 5.2 << Statistics`DataSmoothing`;
MovingAverage[{2, 5, 4, 10, 8, 6 , 10}, 3]
Version 5.2 << Statistics`DataSmoothing`;
MovingMedian[{2, 5, 4, 10, 8, 6 , 10}, 3]

MovingAverage also computes weighted moving averages:

ExponentialMovingAverage replaces ExponentialSmoothing:

Version 5.2 << Statistics`DataSmoothing`;
ExponentialSmoothing[{2, 5, 4, 10, 8, 6 , 10}, 1/4]

LinearFilter was available in previous versions of Mathematica and is now available on the web at library.wolfram.com/infocenter/MathSource/6784.