com.eignex.kumulant/schema/spec/EwmaMean

EwmaMean

@Serializable

@SerialName(value = "EwmaMean")

data class EwmaMean(val alpha: Double) : SeriesStatSpec<WeightedMeanResult> (source)

Spec for EwmaMeanStat: exponentially-weighted moving average with per-observation alpha.

Constructors

EwmaMean

constructor(alpha: Double)(source)

Properties

alpha

val alpha: Double(source)

Decay rate per unit of observation weight: each update moves the mean by 1 - exp(-alpha * weight). Any finite value >= 0; 0 keeps the mean where it is.