kumulant
com.eignex.kumulant/stat/decay/DecayWeighting/Alpha

Alpha

class Alpha(val alpha: Double) : DecayWeighting(source)

Weight-driven decay: alpha given explicitly, progress measured in cumulative weight.

Constructors

Alpha

constructor(alpha: Double)(source)

Properties

alpha

open override val alpha: Double(source)

Decay rate; larger alpha means faster decay.

Functions

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open fun correction(w: Double): Double

Bias-correction factor 1 - exp(-alpha*w), the fraction of a running exponentially weighted mean's bias that has been "worked off" after observing cumulative weight w. Returns 0 for w = 0 to avoid 0/0 when no observations have arrived.