WiP: Add moving average filters by nicoonoclaste · Pull Request #3 · MichaelMauderer/filter-rs

nicoonoclaste · 2019-12-09T15:45:52Z

Implement IIR moving-averages filters on regular time-series
- exponentially-weighted moving averages.
- adaptive moving averages:
  - Jambon's;
  - Kaufman's, a.k.a. KAMA.
Add property-based tests.
Implement the filters for irregular time series (i.e. when updates do not happen on fixed-step intervals)

nicoonoclaste added 3 commits December 3, 2019 14:07

Add moving_averages module (initially, only a naive EWMA)

fdcc85d

moving_averages::regular::ExponentialWMA::update return new estimate

85e6152

moving_averages::regular: Add Jambon's adaptive average (WiP)

498145b

Provide feedback