kumulant
com.eignex.kumulant/schema/DecayingVariance

DecayingVariance

@Serializable
@SerialName(value = "DecayingVariance")
data class DecayingVariance(val weighting: HalfLife) : SeriesStatSpec<DecayingVarianceResult> (source)

Spec for DecayingVarianceStat: time-decayed running variance with HalfLife weighting.

Constructors

DecayingVariance

constructor(weighting: HalfLife)(source)

Properties

weighting

val weighting: HalfLife(source)

Half-life schedule applied to past contributions.