Hi all,
Refer to the attached file which covers EWMA, I dont get the paragraph highlighted in blue. If new weight (alpha sub i+1) = lambda x current weights (alpha sub i) where lambda is between 0 and 1, it means that new weights has a lesser weights compared to old weights. For eg, old weight = 0.2, lambda = 0.5, new weights is equal to 0.1. New weights has lesser weight than old weights. However, above that formula it says old observations has lesser weight than new observations. May I know are you trying to say if one way or two opposite ways, we can use the below variance equation? If it is 1 way then is it old observations have lesser weights than new weights or it is the opposite?
Thank you in advance,
BX
Refer to the attached file which covers EWMA, I dont get the paragraph highlighted in blue. If new weight (alpha sub i+1) = lambda x current weights (alpha sub i) where lambda is between 0 and 1, it means that new weights has a lesser weights compared to old weights. For eg, old weight = 0.2, lambda = 0.5, new weights is equal to 0.1. New weights has lesser weight than old weights. However, above that formula it says old observations has lesser weight than new observations. May I know are you trying to say if one way or two opposite ways, we can use the below variance equation? If it is 1 way then is it old observations have lesser weights than new weights or it is the opposite?
Thank you in advance,
BX
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