agxUtil::ExponentialMovingAverageStatistic Class Reference

Exponential moving average statistic. More...

#include <Statistic.h>

Inheritance diagram for agxUtil::ExponentialMovingAverageStatistic:

Public Member Functions
	ExponentialMovingAverageStatistic (agx::Real smoothFactor, agx::Real initialObservation=0)
virtual	~ExponentialMovingAverageStatistic ()
virtual agx::Real	get () const
agx::Real	getSmoothFactor () const
void	set (agx::Real val)
	Set the raw value of the statistic scalar.
void	setSmoothFactor (agx::Real smoothFactor)
virtual agx::Real	update (agx::Real observation)
	Updates the statistic given the current observation and returns the current value of this statistic.
Public Member Functions inherited from agxUtil::Statistic
virtual	~Statistic ()
virtual agx::Real	get () const =0
virtual agx::Real	update (agx::Real observation)=0
	Updates the statistic given the current observation and returns the current value of this statistic.

Static Public Member Functions
static StatisticHandleRef	make_statistic (agx::Real maxSmoothingFactor, agx::Real initialObservation=0)

Protected Attributes
agx::Real	m_s
agx::Real	m_smoothFactor

Detailed Description

Exponential moving average statistic.

At observation \(Y_n\) the statistic \(S_n\) is calculated as: \(S_n = S_{n-1} + \alpha \left( Y_n - S_{n-1} \right)\), where \( 0 < \alpha < 1\) is the smoothing factor.

Definition at line 93 of file Statistic.h.

Constructor & Destructor Documentation

ExponentialMovingAverageStatistic()

agxUtil::ExponentialMovingAverageStatistic::ExponentialMovingAverageStatistic ( agx::Real  smoothFactor, agx::Real  initialObservation = 0  )

inline

Parameters

smoothFactor	- the smoothing factor used to propagate the average (must be between zero and one)
initialObservation	- initial observation, default zero (optional)

Definition at line 100 of file Statistic.h.

~ExponentialMovingAverageStatistic()

virtual agxUtil::ExponentialMovingAverageStatistic::~ExponentialMovingAverageStatistic ( )

inlinevirtual

Definition at line 128 of file Statistic.h.

Member Function Documentation

get()

virtual agx::Real agxUtil::ExponentialMovingAverageStatistic::get ( ) const

inlinevirtual

Returns

the current value of this statistic

Implements agxUtil::Statistic.

Definition at line 116 of file Statistic.h.

getSmoothFactor()

agx::Real agxUtil::ExponentialMovingAverageStatistic::getSmoothFactor ( ) const

inline

Returns

the smoothing factor

Definition at line 121 of file Statistic.h.

make_statistic()

static StatisticHandleRef agxUtil::ExponentialMovingAverageStatistic::make_statistic ( agx::Real  maxSmoothingFactor, agx::Real  initialObservation = 0  )

inlinestatic

Definition at line 130 of file Statistic.h.

set()

void agxUtil::ExponentialMovingAverageStatistic::set ( agx::Real  val )

inline

Set the raw value of the statistic scalar.

This will be stored without any smoothing. Can be used to initialize the object to a specific value.

Definition at line 114 of file Statistic.h.

setSmoothFactor()

void agxUtil::ExponentialMovingAverageStatistic::setSmoothFactor ( agx::Real  smoothFactor )

inline

Parameters

smoothFactor

- the smoothing factor

Definition at line 126 of file Statistic.h.

update()

virtual agx::Real agxUtil::ExponentialMovingAverageStatistic::update ( agx::Real  observation )

inlinevirtual

Updates the statistic given the current observation and returns the current value of this statistic.

Parameters

observation

- the current observation

Returns

the current value of this statistic

Implements agxUtil::Statistic.

Reimplemented in agxUtil::VariableSmoothFactorEMAStatistic.

Definition at line 103 of file Statistic.h.

Member Data Documentation

m_s

agx::Real agxUtil::ExponentialMovingAverageStatistic::m_s

protected

Definition at line 139 of file Statistic.h.

m_smoothFactor

agx::Real agxUtil::ExponentialMovingAverageStatistic::m_smoothFactor

protected

Definition at line 138 of file Statistic.h.

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The documentation for this class was generated from the following file:

• Statistic.h