added halflife to exponentially weighted moving functions #4998
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can you add an entry in |
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I've added an entry to the release.rst for this, thanks! |
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gr8. can you squash down to a single commit? |
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Sure it's squashed down to a single commit now |
jreback
added a commit
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Sep 29, 2013
added halflife to exponentially weighted moving functions
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thanks! |
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Currently for the exponentially weighted moving functions (ewma, ewmstd, ewmvol, ewmvar, ewmcov) there are two ways (span, center of mass) to specify how fast the exponential decay is. It would be nice to support a "half life" option as well.
The half life is basically just the number of periods in which the exponential weight drops to one half, i.e.,
(1 - \alpha)^h = 0.5, h: half life