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Re: exponential moving average with a varying exponents.

  • To: mathgroup at smc.vnet.net
  • Subject: [mg98619] Re: exponential moving average with a varying exponents.
  • From: Ray Koopman <koopman at sfu.ca>
  • Date: Tue, 14 Apr 2009 06:18:26 -0400 (EDT)
  • References: <grkgrs$75h$1@smc.vnet.net>

On Apr 9, 2:58 am, Andreas <aa... at ix.netcom.com> wrote:
> 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.

Here's a first attempt. As a side comment, what you call "exponents"
I tend to think of as "multipliers" or "smoothing constants".

emav[data_, c_] := FoldList[#1 + (#2[[1]]-#1)#2[[2]]&, data[[1]],
                            Rest@Transpose@{data,c}]


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