assuncaolfi
/ ewm.R
Created
May 4, 2019 17:52
Vectorized R implementation of exponentially weighted moving average and standard deviation. Outputs the same as Python's default pandas.Series.ewm().
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| ewma <- function(x, alpha) { | |
| n <- length(x) | |
| sapply( | |
| 1:n, | |
| function(i, x, alpha) { | |
| y <- x[1:i] | |
| m <- length(y) | |
| weights <- (1 - alpha)^((m - 1):0) | |
| ewma <- sum(weights * y) / sum(weights) | |
| }, |