Exponential Moving Average

Author: ptyadana

Advanced SQL for Data Science - Time Series/03.Time Series Analysis/07.Exponential Moving Average.sql

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+/************ Exponential Moving Average **********/
+/*
+- A type of moving average
+- wights decrease exponentially
+- used to smooth trends when large variance in data
+
+
+Smoothing Parameter
+- typically 2 / (1+number of intervals)
+- example, for 7 days of smoothing parameter is 0.25 (2/1+7)
+- it is called lambda
+
+
+Lambda Formula
+- (current_period_value * lambda) + (previous_period_EWMA * (1-lambda))
+- recursive
+- could be calculated using Common Table Expression, but not recommended for large data sets.
+- use User Defined function instead.
+
+*/