on
发帖数: 199 | 1 it's easy to get an exponential weighted moving average:
mean(t) = q * mean( t-1) + (1-q) * x(t)
where x(1), x(2), ... are the data points.
My question is: how to get an "unbiased" estimate for standard devidation? A
naive formula would be:
var(t) = q * var( t-1) + (1-q) * ( x(t) - mean(t) )^2
but I don't think this is an unbiased estimate, and my simulation says it is
not.
any one knows or a link to reference please? many thanks. |
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