EWMA

The exponentially weighted moving average (EWMA) approach captures short-term movements in volatility for a conditional volatility forecasting model. By virtue of its alpha, or decay factor, this provides a statistical streaming data model that is exponentially biased towards newer entries.

http://en.wikipedia.org/wiki/Moving_average#Exponential_moving_average

An EWMA only needs the most recent forecast value to be kept, as opposed to a standard moving average model.

value: the current exponentially weighted moving average, e.g. Y(n - 1), or, the sampled value resulting from the previous smoothing iteration. This value is always used as the previous EWMA to calculate the new EWMA.
alpha: decay factor, sets how quickly the exponential weighting decays for past data compared to new data, see http://en.wikipedia.org/wiki/Moving_average#Exponential_moving_average

Annotations: @SerialVersionUID()
Source: EWMA.scala

Linear Supertypes

Serializable, Serializable, Product, Equals, AnyRef, Any

Type Hierarchy

Instance Constructors

new EWMA(value: Double, alpha: Double)

value
the current exponentially weighted moving average, e.g. Y(n - 1), or, the sampled value resulting from the previous smoothing iteration. This value is always used as the previous EWMA to calculate the new EWMA.
alpha
decay factor, sets how quickly the exponential weighting decays for past data compared to new data, see http://en.wikipedia.org/wiki/Moving_average#Exponential_moving_average

Value Members

final def !=(arg0: Any): Boolean

Definition Classes
AnyRef → Any
final def ##(): Int

Definition Classes
AnyRef → Any
def +(other: String): String

Implicit information
This member is added by an implicit conversion from EWMA to any2stringadd[EWMA] performed by method any2stringadd in scala.Predef.
Definition Classes
any2stringadd
def ->[B](y: B): (EWMA, B)

Implicit information
This member is added by an implicit conversion from EWMA to ArrowAssoc[EWMA] performed by method ArrowAssoc in scala.Predef.
Definition Classes
ArrowAssoc
Annotations
@inline()
def :+(xn: Double): EWMA

Calculates the exponentially weighted moving average for a given monitored data set.
Calculates the exponentially weighted moving average for a given monitored data set.
xn
the new data point
returns
a new EWMA with the updated value
final def ==(arg0: Any): Boolean

Definition Classes
AnyRef → Any
val alpha: Double

decay factor, sets how quickly the exponential weighting decays for past data compared to new data, see http://en.wikipedia.org/wiki/Moving_average#Exponential_moving_average
final def asInstanceOf[T0]: T0

Definition Classes
Any
def clone(): AnyRef

Attributes
protected[java.lang]
Definition Classes
AnyRef
Annotations
@throws( ... )
def ensuring(cond: (EWMA) ⇒ Boolean, msg: ⇒ Any): EWMA

Implicit information
This member is added by an implicit conversion from EWMA to Ensuring[EWMA] performed by method Ensuring in scala.Predef.
Definition Classes
Ensuring
def ensuring(cond: (EWMA) ⇒ Boolean): EWMA

Implicit information
This member is added by an implicit conversion from EWMA to Ensuring[EWMA] performed by method Ensuring in scala.Predef.
Definition Classes
Ensuring
def ensuring(cond: Boolean, msg: ⇒ Any): EWMA

Implicit information
This member is added by an implicit conversion from EWMA to Ensuring[EWMA] performed by method Ensuring in scala.Predef.
Definition Classes
Ensuring
def ensuring(cond: Boolean): EWMA

Implicit information
This member is added by an implicit conversion from EWMA to Ensuring[EWMA] performed by method Ensuring in scala.Predef.
Definition Classes
Ensuring
final def eq(arg0: AnyRef): Boolean

Definition Classes
AnyRef
def finalize(): Unit

Attributes
protected[java.lang]
Definition Classes
AnyRef
Annotations
@throws( classOf[java.lang.Throwable] )
def formatted(fmtstr: String): String

Implicit information
This member is added by an implicit conversion from EWMA to StringFormat[EWMA] performed by method StringFormat in scala.Predef.
Definition Classes
StringFormat
Annotations
@inline()
final def getClass(): Class[_]

Definition Classes
AnyRef → Any
final def isInstanceOf[T0]: Boolean

Definition Classes
Any
final def ne(arg0: AnyRef): Boolean

Definition Classes
AnyRef
final def notify(): Unit

Definition Classes
AnyRef
final def notifyAll(): Unit

Definition Classes
AnyRef
final def synchronized[T0](arg0: ⇒ T0): T0

Definition Classes
AnyRef
val value: Double

the current exponentially weighted moving average, e.g.
the current exponentially weighted moving average, e.g. Y(n - 1), or, the sampled value resulting from the previous smoothing iteration. This value is always used as the previous EWMA to calculate the new EWMA.
final def wait(): Unit

Definition Classes
AnyRef
Annotations
@throws( ... )
final def wait(arg0: Long, arg1: Int): Unit

Definition Classes
AnyRef
Annotations
@throws( ... )
final def wait(arg0: Long): Unit

Definition Classes
AnyRef
Annotations
@throws( ... )
def →[B](y: B): (EWMA, B)

Implicit information
This member is added by an implicit conversion from EWMA to ArrowAssoc[EWMA] performed by method ArrowAssoc in scala.Predef.
Definition Classes
ArrowAssoc

Related Docs: object EWMA | package metrics

final case class EWMA(value: Double, alpha: Double) extends Product with Serializable

Instance Constructors

new EWMA(value: Double, alpha: Double)

Value Members

final def !=(arg0: Any): Boolean

final def ##(): Int

def +(other: String): String

def ->[B](y: B): (EWMA, B)

def :+(xn: Double): EWMA

final def ==(arg0: Any): Boolean

val alpha: Double

final def asInstanceOf[T0]: T0

def clone(): AnyRef

def ensuring(cond: (EWMA) ⇒ Boolean, msg: ⇒ Any): EWMA

def ensuring(cond: (EWMA) ⇒ Boolean): EWMA

def ensuring(cond: Boolean, msg: ⇒ Any): EWMA

def ensuring(cond: Boolean): EWMA

final def eq(arg0: AnyRef): Boolean

def finalize(): Unit

def formatted(fmtstr: String): String

final def getClass(): Class[_]

final def isInstanceOf[T0]: Boolean

final def ne(arg0: AnyRef): Boolean

final def notify(): Unit

final def notifyAll(): Unit

final def synchronized[T0](arg0: ⇒ T0): T0

val value: Double

final def wait(): Unit

final def wait(arg0: Long, arg1: Int): Unit

final def wait(arg0: Long): Unit

def →[B](y: B): (EWMA, B)

Inherited from Serializable

Inherited from Serializable

Inherited from Product

Inherited from Equals

Inherited from AnyRef

Inherited from Any

Inherited by implicit conversion any2stringadd from EWMA to any2stringadd[EWMA]

Inherited by implicit conversion StringFormat from EWMA to StringFormat[EWMA]

Inherited by implicit conversion Ensuring from EWMA to Ensuring[EWMA]

Inherited by implicit conversion ArrowAssoc from EWMA to ArrowAssoc[EWMA]

Ungrouped