16.20 - Exponential Moving Average - Teradata Database - Teradata Vantage NewSQL Engine

Teradata Vantage™ - NewSQL Engine Analytic Functions

Product
Teradata Database
Teradata Vantage NewSQL Engine
Release Number
16.20
Release Date
July 2019
Content Type
Programming Reference
Publication ID
B035-1206-162K
Language
English (United States)

Exponential moving average (EMA), or exponentially weighted moving average (EWMA), applies a damping factor, alpha, that exponentially decreases the weights of older values. This technique gives much more weight to recent observations, while retaining older observations.

With MAvgType ('E'), the MovingAverage function uses this procedure:
  1. Compute the arithmetic average of the first n rows.

    The value n is specified by the StartRows syntax element.

  2. For each subsequent row, compute the new exponential moving average value with this formula:

    EMAM = alpha * V + (1 - alpha) * EMAM-1

    The value alpha is specified by the Alpha syntax element. V is the new value.