final case class EWMA(value: Double, alpha: Double) extends Product with Serializable
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.
https://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 https://en.wikipedia.org/wiki/Moving_average#Exponential_moving_average
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- EWMA.scala
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- 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 https://en.wikipedia.org/wiki/Moving_average#Exponential_moving_average
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- def ->[B](y: B): (EWMA, B)
- 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
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- val alpha: Double
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- 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
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(Since version 9)
- def formatted(fmtstr: String): String
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- This member is added by an implicit conversion from EWMA toStringFormat[EWMA] performed by method StringFormat in scala.Predef.
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(Since version 2.12.16) Use
formatString.format(value)instead ofvalue.formatted(formatString), or use thef""string interpolator. In Java 15 and later,formattedresolves to the new method in String which has reversed parameters.
- def →[B](y: B): (EWMA, B)
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- This member is added by an implicit conversion from EWMA toArrowAssoc[EWMA] performed by method ArrowAssoc in scala.Predef.
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(Since version 2.13.0) Use
->instead. If you still wish to display it as one character, consider using a font with programming ligatures such as Fira Code.