Package deltix.util.vsocket

Class EMA

java.lang.Object

deltix.util.vsocket.EMA

public class EMA
extends java.lang.Object

Exponential moving average: EMA(v) = v*(1-k)+ previousEMA*k, where k = e^(-timeSincePreviousMeasurement/decayTime)

Constructor Summary

Constructors

Constructor	Description
EMA(double decayTimeMillis)	Creates a running EMA instance

Method Summary

Modifier and Type	Method	Description
void	clear()
double	getAverage()
double	getLastRegisteredValue()
void	register(double value)
void	register(double value, long time)
double	update(double value)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

EMA

public EMA(double decayTimeMillis)

Creates a running EMA instance

Parameters:

decayTimeMillis - Time in milliseconds during which a reading's weight falls to 1/e.

Method Detail

update

public double update(double value)

clear

public void clear()

getLastRegisteredValue

public double getLastRegisteredValue()

getAverage

public double getAverage()

register

public void register(double value)

register

public void register(double value,
                     long time)