OnlineStats.jl - Exponentially Weighted Moving Average with a Window

continually.jl

cd(@__DIR__)
using OnlineStats
using Dates
using Plots
gr()

function test()
    data = Plots.fakedata(250,2) .+ [2 1]
    n,m= size(data)
    ewmas = zeros(0,2)
    labels = ["dogs","cats","ewma(dogs)","ewma(cats)"]
    linetypes = [:scatter :scatter :path :path]
    colors = [:red :blue :darkblue :darkred]
    ewma = [
        Mean(weight = ExponentialWeight(.01)),
        Mean(weight = ExponentialWeight(.01))
    ]
    anim = @animate for i=1:n
        ys = @view data[1:i,:]
        ewmas = vcat(ewmas, [value(fit!(ewma[j], ys[i,j])) for j in 1:m]')
        plot(hcat(ys,ewmas),
            line=(linetypes,:auto,2,colors),
            labels=labels,
            title="Exponentially Weighted Moving Average")
    end every 1
    gif(anim, "../data/anim/continually.gif")
end

test()

window.jl

cd(@__DIR__)
using OnlineStats
using Dates
using Plots
gr()

function test(data, window=10)
    n,m= size(data)
    ewmas = zeros(0,2)
    labels = ["dogs","cats","ewma(dogs,w=$window)","ewma(cats,w=$window)"]
    linetypes = [:scatter :scatter :path :path]
    colors = [:red :blue :darkblue :darkred]
    anim = @animate for i=1:n
        ys = @view data[max(1,i-window+1):i,:]
        @show i, size(ys)
        ewmas = vcat(ewmas, [value(fit!(Mean(weight = ExponentialWeight(.01)), ys[:,j])) for j in 1:m]')
        is = @view data[1:i,:]
        plot(hcat(is,ewmas),
            line=(linetypes,:auto,2,colors),
            labels=labels,
            title="Exponentially Weighted Moving Average (window=$window)",
            size=(600,400))
    end every 1
    gif(anim, "../data/anim/window_$window.gif")
end

data = Plots.fakedata(250,2) .+ [2 1]
test(data, 10)
test(data, 25)
test(data, 50)
test(data, 75)
test(data, 100)

continually

window