1
$\begingroup$

I have discrete measured values $f_n$ and construct a smoothed series $g_n$ using the recursive formula $g_0=f_0 \\ g_n=(1-\alpha)g_{n-1}+\alpha f_n$ where $\alpha\in\langle0,1\rangle$ is a weight parameter ($\alpha=1 \Leftrightarrow f\equiv g$).

Is there some established name for this smoothing transformation?

1 Answers 1

4

Yes. Your algorithm is called 'exponential moving average', and it's quite common in stock price estimation.

  • 0
    Than$k$s a lot! For the record, wikipedia has a section on it at http://en.wikipedia.org/wiki/Moving_average#Exponential_moving_average.2012-10-22