Exponential Moving Average - Analytics Database

Database Analytic Functions

Deployment
VantageCloud
VantageCore
Edition
Enterprise
IntelliFlex
VMware
Product
Analytics Database
Release Number
17.20
Published
June 2022
Language
English (United States)
Last Update
2024-04-06
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Product Category
Teradata Vantageā„¢

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

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