ema: Exponential Moving Average

In stulacy/filters: What the Package Does in One 'Title Case' Line

Exponential Moving Average

Description

Smoothes a series by means of an exponential moving average. If x is an input series and y is the output filtered series, then:

y[i] = alpha * x[i] + (1-alpha) * y[i-1]

Usage

ema(x, alpha, miss = "reset")

Arguments

x	Input time-series as a vector.
alpha	Smoothing parameter, lower values have a greater smoothing effect.
miss	How to handle missing data. When 'reset' is used and x[i] is NA then y[i] is also NA. On the next non-NA value, j, then the rolling average is reset by using the current input, i.e. x[j] = alpha * x[j] + (1-alpha) * x[j] With 'carry' then the last non-NA value is carried over and used instead, i.e. if x = [1, NA, 3] then y[3] = alpha * 3 + (1-alpha) * y[1] 'carry_interpolate' is the same as 'carry' except that the previous non-NA value is also output from the filter. I.e. with x = [1, NA, 3], then under 'carry' y[2] = NA but under 'carry_interpolate' y[2] = 1

Value

A filtered time-series the same length as x.

stulacy/filters documentation built on March 19, 2022, 7:25 a.m.