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exponential moving average with a varying exponents.

  • To: mathgroup at smc.vnet.net
  • Subject: [mg98433] exponential moving average with a varying exponents.
  • From: Andreas <aagas at ix.netcom.com>
  • Date: Thu, 9 Apr 2009 05:58:46 -0400 (EDT)

I have a function with calculates an exponential moving average with a varying exponent.

EMAVariableExponent[data_, exponents_]:=Module[{ema},
ema = {data[[1]]};
Do[ema =Append[ema,ema[[t-1]] + exponents[[t]] * (data[[t]] - ema[[t-1]])], {t,2,Length[data]}]
];

You supply the function with a list of data and with a list of exponents used at each step in the calculations.

This seems to work OK but I'd like to replace it with a clearer and more elegant functional construct.

I wish ExponentialMovingAverage[] could take a list of exponents rather than a constant, something like:

ExponentialMovingAverage[list, exponentList]

I tried the following to try to Map an ExponentialMovingAverage[] across the list of exponents.

ExponentialMovingAverage[data, #]&/@ exponents

but it gives me a list of lists, each of which has mapped each exponent in exponents to the list of data.

Any suggestions much appreciated.


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