Cross Validated
2023-06-23 12:17 UTC
By The User
AI-113-20230623-social-media-a3b5d90c
Switching between alpha, half-life and span in exponential moving average
I have been reviewing documentation here on exponential moving averages. I am having a hard time being able to analytically move between the definition of an exponential moving average specified in terms of its alpha decay factor and specifying decay in terms of half-life and span. Is someone able to provide a derivation for the formulas of half-life and span SPECIFICALLY relating to the definition of the exponential moving average provided at the link?
I have been reviewing documentation here on exponential moving averages. I am having a hard time being able to analytically move between the definition of an exponential moving average specified in terms of its alpha decay factor and specifying decay in terms of half-life and span. Is someone able to provide a derivation for the formulas of half-life and span SPECIFICALLY relating to the definition of the exponential moving average provided at the link?
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Cross Validated
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