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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@SerialVersionUID()
Source
EWMA.scala
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  1. EWMA
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  1. by any2stringadd
  2. by StringFormat
  3. by Ensuring
  4. by ArrowAssoc
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Instance Constructors

  1. 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

Value Members

  1. final def !=(arg0: Any): Boolean
    Definition Classes
    AnyRef → Any
  2. final def ##: Int
    Definition Classes
    AnyRef → Any
  3. def +(other: String): String
    Implicit
    This member is added by an implicit conversion from EWMA toany2stringadd[EWMA] performed by method any2stringadd in scala.Predef.
    Definition Classes
    any2stringadd
  4. def ->[B](y: B): (EWMA, B)
    Implicit
    This member is added by an implicit conversion from EWMA toArrowAssoc[EWMA] performed by method ArrowAssoc in scala.Predef.
    Definition Classes
    ArrowAssoc
    Annotations
    @inline()
  5. 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

  6. final def ==(arg0: Any): Boolean
    Definition Classes
    AnyRef → Any
  7. val alpha: Double
  8. final def asInstanceOf[T0]: T0
    Definition Classes
    Any
  9. def clone(): AnyRef
    Attributes
    protected[lang]
    Definition Classes
    AnyRef
    Annotations
    @throws(classOf[java.lang.CloneNotSupportedException]) @native() @HotSpotIntrinsicCandidate()
  10. def ensuring(cond: (EWMA) => Boolean, msg: => Any): EWMA
    Implicit
    This member is added by an implicit conversion from EWMA toEnsuring[EWMA] performed by method Ensuring in scala.Predef.
    Definition Classes
    Ensuring
  11. def ensuring(cond: (EWMA) => Boolean): EWMA
    Implicit
    This member is added by an implicit conversion from EWMA toEnsuring[EWMA] performed by method Ensuring in scala.Predef.
    Definition Classes
    Ensuring
  12. def ensuring(cond: Boolean, msg: => Any): EWMA
    Implicit
    This member is added by an implicit conversion from EWMA toEnsuring[EWMA] performed by method Ensuring in scala.Predef.
    Definition Classes
    Ensuring
  13. def ensuring(cond: Boolean): EWMA
    Implicit
    This member is added by an implicit conversion from EWMA toEnsuring[EWMA] performed by method Ensuring in scala.Predef.
    Definition Classes
    Ensuring
  14. final def eq(arg0: AnyRef): Boolean
    Definition Classes
    AnyRef
  15. def formatted(fmtstr: String): String
    Implicit
    This member is added by an implicit conversion from EWMA toStringFormat[EWMA] performed by method StringFormat in scala.Predef.
    Definition Classes
    StringFormat
    Annotations
    @inline()
  16. final def getClass(): Class[_ <: AnyRef]
    Definition Classes
    AnyRef → Any
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    @native() @HotSpotIntrinsicCandidate()
  17. final def isInstanceOf[T0]: Boolean
    Definition Classes
    Any
  18. final def ne(arg0: AnyRef): Boolean
    Definition Classes
    AnyRef
  19. final def notify(): Unit
    Definition Classes
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    @native() @HotSpotIntrinsicCandidate()
  20. final def notifyAll(): Unit
    Definition Classes
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    @native() @HotSpotIntrinsicCandidate()
  21. def productElementNames: Iterator[String]
    Definition Classes
    Product
  22. final def synchronized[T0](arg0: => T0): T0
    Definition Classes
    AnyRef
  23. val value: Double
  24. final def wait(arg0: Long, arg1: Int): Unit
    Definition Classes
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    @throws(classOf[java.lang.InterruptedException])
  25. final def wait(arg0: Long): Unit
    Definition Classes
    AnyRef
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    @throws(classOf[java.lang.InterruptedException]) @native()
  26. final def wait(): Unit
    Definition Classes
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    Annotations
    @throws(classOf[java.lang.InterruptedException])

Deprecated Value Members

  1. def finalize(): Unit
    Attributes
    protected[lang]
    Definition Classes
    AnyRef
    Annotations
    @throws(classOf[java.lang.Throwable]) @Deprecated
    Deprecated
  2. def [B](y: B): (EWMA, B)
    Implicit
    This member is added by an implicit conversion from EWMA toArrowAssoc[EWMA] performed by method ArrowAssoc in scala.Predef.
    Definition Classes
    ArrowAssoc
    Annotations
    @deprecated
    Deprecated

    (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.

Inherited from Serializable

Inherited from Product

Inherited from Equals

Inherited from AnyRef

Inherited from Any

Inherited by implicit conversion any2stringadd fromEWMA to any2stringadd[EWMA]

Inherited by implicit conversion StringFormat fromEWMA to StringFormat[EWMA]

Inherited by implicit conversion Ensuring fromEWMA to Ensuring[EWMA]

Inherited by implicit conversion ArrowAssoc fromEWMA to ArrowAssoc[EWMA]

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