ExponentialMovingAverage

ExponentialMovingAverage[list,α]

gives the exponential moving average of list with smoothing constant α.

Details

Examples

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Basic Examples  (2)

Exponential moving average in symbolic form:

Exponential moving average for numeric values:

Scope  (4)

Compute exponential moving averages at machine precision:

Exponential moving averages of matrices are matrices:

Obtain results for lists of any precision:

Obtain results for smoothing coefficients of any precision:

Generalizations & Extensions  (1)

Compute results for a SparseArray:

Applications  (3)

Smooth noisy data:

Compute an exponential moving average using an initial starting value:

Compute the exponential moving average of a financial time series:

Properties & Relations  (3)

Terms of an exponential moving average satisfy a recurrence relation:

Exponential moving average with a smoothing coefficient of 0 is a constant:

Exponential moving average with a smoothing coefficient of 1 is the original list:

Introduced in 2007
 (6.0)