MovingWindowFilterExponentiallyWeightedMovingAverageCoefficients Method

Returns a vector of exponentially weighted moving average (EWMA) coefficients of length n.

Namespace: CenterSpace.NMath.Core
Assembly: NMath (in NMath.dll) Version: 7.4

Syntax

public static DoubleVector ExponentiallyWeightedMovingAverageCoefficients(
	int n
)

Public Shared Function ExponentiallyWeightedMovingAverageCoefficients ( 
	n As Integer
) As DoubleVector

public:
static DoubleVector^ ExponentiallyWeightedMovingAverageCoefficients(
	int n
)

static member ExponentiallyWeightedMovingAverageCoefficients : 
        n : int -> DoubleVector

Parameters

n Int32: Exponential moving average filter length.

Return Value

DoubleVector
The vector of coefficients implementing an exponentially weighted moving average filter.

Exceptions

Exception	Condition
InvalidArgumentException	The filter length, n, must be greater than zero.

Remarks

As the number of EWMA coefficients increases, the filter will capture at most %86.47 of the total weight due to the finite length of the filter. The filter length

Copy

and the exponential weight

Copy

alpha

are related by

Copy

alpha = 2 / (n + 1)

Example

DoubleVector coef = MovingWindowFilter.ExponentiallyWeightedMovingAverageCoefficients( 18 ); MovingWindowFilter EWMAfilter = new MovingWindowFilter( 0, coef.Length - 1, coef ); DoubleVector filtered = EWMAfilter.Filter( data );

Reference

MovingWindowFilter Class

CenterSpace.NMath.Core Namespace