org.apache.mahout.math.stats

Class OnlineExponentialAverage

java.lang.Object

org.apache.mahout.math.stats.OnlineExponentialAverage

public class OnlineExponentialAverage
extends Object

Computes an online average that is exponentially weighted toward recent time-embedded samples.

Constructor Summary

Constructors

Constructor and Description
OnlineExponentialAverage(double alpha) Creates an averager that has a specified time constant for discounting old data.

Method Summary

Methods

Modifier and Type	Method and Description
void	add(double t, double x)
double	mean()
double	meanRate()

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

OnlineExponentialAverage

public OnlineExponentialAverage(double alpha)

Creates an averager that has a specified time constant for discounting old data. The time constant, alpha, is the time at which an older sample is discounted to 1/e relative to current data. Roughly speaking, data that is more than 3*alpha old doesn't matter any more and data that is more recent than alpha/3 is about as important as current data. See http://tdunning.blogspot.com/2011/03/exponential-weighted-averages-with.html for a derivation. See http://tdunning.blogspot.com/2011/03/exponentially-weighted-averaging-for.html for the rate method.

Parameters:

alpha - The time constant for discounting old data and state.

Method Detail

add

public void add(double t,
       double x)

mean

public double mean()

meanRate

public double meanRate()