com.eignex.kumulant/schema/spec/EwmaVariance

EwmaVariance

@Serializable

@SerialName(value = "EwmaVariance")

data class EwmaVariance(val alpha: Double) : SeriesStatSpec<WeightedVarianceResult> (source)

Spec for EwmaVarianceStat: exponentially-weighted moving variance with per-observation alpha.

Constructors

EwmaVariance

constructor(alpha: Double)(source)

Properties

alpha

val alpha: Double(source)

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