Class EWMA

  • All Implemented Interfaces:
    java.io.Serializable, scala.Equals, scala.Product, scala.Serializable

    public final class EWMA
    extends java.lang.Object
    implements scala.Product, scala.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.

    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.

    param: 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

    param: 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.

    See Also:
    Serialized Form
    • Constructor Detail

      • EWMA

        public EWMA​(double value,
                    double alpha)
    • Method Detail

      • apply

        public static EWMA apply​(double value,
                                 double alpha)
      • unapply

        public static scala.Option<scala.Tuple2<java.lang.Object,​java.lang.Object>> unapply​(EWMA x$0)
      • value

        public double value()
      • alpha

        public double alpha()
      • $colon$plus

        public EWMA $colon$plus​(double xn)
        Calculates the exponentially weighted moving average for a given monitored data set.

        Parameters:
        xn - the new data point
        Returns:
        a new EWMA with the updated value
      • copy

        public EWMA copy​(double value,
                         double alpha)
      • copy$default$1

        public double copy$default$1()
      • copy$default$2

        public double copy$default$2()
      • productPrefix

        public java.lang.String productPrefix()
        Specified by:
        productPrefix in interface scala.Product
      • productArity

        public int productArity()
        Specified by:
        productArity in interface scala.Product
      • productElement

        public java.lang.Object productElement​(int x$1)
        Specified by:
        productElement in interface scala.Product
      • productIterator

        public scala.collection.Iterator<java.lang.Object> productIterator()
        Specified by:
        productIterator in interface scala.Product
      • canEqual

        public boolean canEqual​(java.lang.Object x$1)
        Specified by:
        canEqual in interface scala.Equals
      • hashCode

        public int hashCode()
        Overrides:
        hashCode in class java.lang.Object
      • toString

        public java.lang.String toString()
        Overrides:
        toString in class java.lang.Object
      • equals

        public boolean equals​(java.lang.Object x$1)
        Specified by:
        equals in interface scala.Equals
        Overrides:
        equals in class java.lang.Object