pandas.stats.moments.ewmstd¶
- pandas.stats.moments.ewmstd(arg, com=None, span=None, min_periods=0, bias=False, time_rule=None)¶
Exponentially-weighted moving std
arg : Series, DataFrame com : float. optional
Center of mass: alpha = com / (1 + com),- span : float, optional
- Specify decay in terms of span, alpha = 2 / (span + 1)
- min_periods : int, default 0
- Number of observations in sample to require (only affects beginning)
- freq : None or string alias / date offset object, default=None
- Frequency to conform to before computing statistic time_rule is a legacy alias for freq
- adjust : boolean, default True
- Divide by decaying adjustment factor in beginning periods to account for imbalance in relative weightings (viewing EWMA as a moving average)
- bias : boolean, default False
- Use a standard estimation bias correction
Either center of mass or span must be specified
EWMA is sometimes specified using a “span” parameter s, we have have that the decay parameter alpha is related to the span as
where c is the center of mass. Given a span, the associated center of mass is
So a “20-day EWMA” would have center 9.5.
y : type of input argument