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July 18th, 2012, 09:37 AM   #1
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Range of exponential smoothing


Is there a way of working out what range within a data series the function represents? That is, how far back in the series a data item influences the current value.

For example, if working out the smoothed average of a set of stocks quotes; which are sampled every 30 seconds and the exponential average is

avg = avgt * 0.9 + x * 0.1

where x is the current data item and avgt is the average at the last time point. So with the smoothing factor of 0.9 over what range does the current value extend? I hope that is clear.

Any help appreciated.

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July 18th, 2012, 12:16 PM   #2
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Re: Range of exponential smoothing

In theory forever, although its influence obviously diminishes (factor .9) at each step.
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