mattools.py 文件源码

def get_mat_ewma(tsmat, alpha):
    # EWMA(t) = alpha * ts(t) + (1-alpha) * EWMA(t-1)
    ewma = np.tile(np.NAN, tsmat.shape)
    for i in xrange(1, tsmat.shape[0]):
        init_selection = np.isnan(ewma[i-1, :])
        ewma[i-1, init_selection] = tsmat[i-1, init_selection]
        ewma[i, :] = alpha * tsmat[i, :] + (1-alpha) * ewma[i-1, :]
    return ewma