update_ewmc: Efficient EMA updates
In shill1729/findistr: Common distributions used in finance
update_ewmc R Documentation
Efficient EMA updates
Description
Efficient EMA updates
Usage
update_ewmc(x_new, Sigma_last, mu_new, alpha, n)
Arguments
x_new
the new log-return value
Sigma_last
the last ema-cov
mu_new
the new mean
alpha
the smoothing factor
n
the total size
Value
matrix
shill1729/findistr documentation built on May 20, 2024, 9:43 a.m.
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| update_ewmc | R Documentation |
Efficient EMA updates
Description
Efficient EMA updates
Usage
update_ewmc(x_new, Sigma_last, mu_new, alpha, n)
Arguments
x_new |
the new log-return value |
Sigma_last |
the last ema-cov |
mu_new |
the new mean |
alpha |
the smoothing factor |
n |
the total size |
Value
matrix
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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