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July 18th, 2012, 09:37 AM  #1 
Newbie Joined: Jul 2012 Posts: 2 Thanks: 0  Range of exponential smoothing
Hello, 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. Rupert 
July 18th, 2012, 12:16 PM  #2 
Global Moderator Joined: May 2007 Posts: 6,730 Thanks: 689  Re: Range of exponential smoothing
In theory forever, although its influence obviously diminishes (factor .9) at each step.


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exponential, range, smoothing 
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