Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

EWMA alignement with pandas and speedup #53

Merged
merged 46 commits into from
Mar 25, 2022
Merged

EWMA alignement with pandas and speedup #53

merged 46 commits into from
Mar 25, 2022

Conversation

eserie
Copy link
Owner

@eserie eserie commented Mar 16, 2022

We align the implementation with the one in pandas (all options are reproduced).
This adds the options

  • com
  • ignore_na
  • min_periods
    The new implementation is faster than the previous one.

We also add an implementation of the ewma in numba extending the one of pandas with the additional modes we have in wax:

  • adjust='linear'
  • initial_value parameter
  • a state management for online usages and warm-start of the ewma.

@eserie eserie changed the title EWMA alignement against pandas and speedup EWMA alignement with pandas and speedup Mar 25, 2022
@eserie eserie merged commit e340671 into main Mar 25, 2022
@eserie eserie deleted the ewma-correct branch March 25, 2022 11:33
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
None yet
Projects
None yet
Development

Successfully merging this pull request may close these issues.

1 participant