DATA SMOOTHING : RC FILTERING AND EXPONENTIAL AVERAGING
By Dr Colin Mercer, Technical Director, Prosig
What are RC Filtering and Exponential Averaging and how do they differ? The answer to the second part of the question is that they are the same process! If one comes from an electronics background then RC Filtering (or RC Smoothing) is the usual expression. On the other hand an approach based on time series statistics has the name Exponential Averaging, or to use the full name Exponential Weighted Moving Average. This is also variously known as EWMA or EMA. read »»»
