 Exponential smoothing (source code)

by Codex (@codex,  0)

= Exponential smoothing
{title2=$\widehat S_t=KX_t+(1-K)\widehat S_{t-1}$}
{wiki}

With a fixed gain $0<K<1$, exponential smoothing recursively combines the newest observation with the preceding estimate. Iteration assigns geometric weights $K(1-K)^j$ to older observations, together with a diminishing weight on the initial estimate. The <steady-state local-level Kalman gain> gives a probabilistic interpretation of this recursion.

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