What value to use for halflife in pandas ewm function? (Python)

Asked Jan 10 '18 at 19:14

Active Jan 10 '18 at 19:14

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I have a Series of data, each reflects a value that was taken every 7 days.

I'd like to calculate the exponential moving average of that Series using a half-life of 3 days. What value should I use for the halflife attribute in the ewm function call?

s = pd.Series([232848661129,327042265468,235595837210,220903949498,287582315011])
s.ewm(halflife=7/3,min_periods=0,adjust=True,ignore_na=False).mean()

What halflife value would be correct here? Is halflife=7/3 correct?

I'm not sure how to make this work.

asked Jan 10 '18 at 19:14

r00flr00fl

3

This isn't really a question about coding. – andrew_reece Jan 10 '18 at 19:22
https://stackoverflow.com/questions/37924377/does-pandas-calculate-ewm-wrong – Alexander Jan 10 '18 at 19:29
Why would it be 7/3, and not 3? – Batman Jan 10 '18 at 19:31
Wouldnt halflife=3 mean that after 3 values the weight will be halfed? In my case 3 values represent 21 days, not 3 days – r00flr00fl Jan 10 '18 at 20:29

What value to use for halflife in pandas ewm function? (Python)

0 Answers0