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ENH: Allow adjust=False when times is provided #59142
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…isallowed decay-specification parameters when times is specified and adjust=False
pre-commit is finally green but a lot of the actions are failing with the same message:
Seeing lots of PRs get these errors. Maybe a recent GHA setup change is breaking some tests? |
CI all green :) |
mroeschke
approved these changes
Jul 8, 2024
Thanks @tserrao |
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doc/source/whatsnew/v3.0.0.rst
This change enables EWMA to be calculated recursively ("infinite history", i.e.
adjust=False
) for irregular-interval time series. Previouslynew_wt
was held constant in the ewm run loop, but nownew_wt
is updated each step through the series under the narrow condition thatadjust=False
andcom=1
.There may be a more elegant expression that will generalize to
com
values different than one, but using1 - old_wt
works nicely ifhalflife
is the only provided decay parameter since we are guaranteedcom=1
. The additional parameter restrictions to force this condition seem acceptable since there is already some restriction on decay parameters.FWIW I confirmed that results match polars and @azmyrajab's nice test function: