expMovingAverage

Description

An exponential moving average is similar to a moving average, except that more weight is given to the latest data. It is also known as an exponentially weighted moving average. 

Input

Time Series: Multiple (Single or multiple time-series) 

Parameters

 Period

Mandatory. Relative_time(Minutes, Hours, Days) (default=10 days) 

Output

 Transformed Time Series - multiple

Available in

Alerts + Composite + Dashboards

Usage example

The expMovingAverage function is useful for smoothing noisy metrics. 

Take the following raw metric for example, which counts the number of application errors in a given instance: 

expMovingAvg1.png

It is a sparse metric, as the majority of the input here is only zeros. In addition, the seasonality is not perfect, as the daily peaks emerge with some jitter. In fact, this noise hampers the baseline model selection, and leaves this metric inadequate for anomaly detection (all those daily surges will be falsely classified as anomalies). 

After applying the expMovingAverage function (using a 45-minute moving window), the baseline for this metric becomes more focused: 

expmovingavg45m.png

Note: the expMovingAverage smoothes the original time series, typically reducing the magnitude of the spikes. Here is the same spike, this time using a 60 minutes moving window: 

expMovingavg60.png

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