Struct ExponentialRunningStats 

pub struct ExponentialRunningStats { /* private fields */ }

Exponential Moving Average (EMA) running statistics for non-stationary signals.

Unlike Welford’s algorithm which weights all observations equally, EMA statistics give exponentially more weight to recent observations. This makes them suitable for tracking non-stationary distributions where the underlying mean/variance drift over time.

Update rules: mean_t = (1 - alpha) * mean_{t-1} + alpha * x_t var_t = (1 - alpha) * var_{t-1} + alpha * (x_t - mean_t)^2

The smoothing factor alpha controls the effective window:

• alpha = 2/(N+1) gives an N-step equivalent window
• Higher alpha = more responsive to change, noisier estimates
• Lower alpha = smoother estimates, slower to adapt

Implementations

impl ExponentialRunningStats

pub fn new(alpha: f64) -> Self

Create a new EMA statistics tracker.

Parameters

• alpha: Smoothing factor in (0, 1). Use from_halflife or from_window for more intuitive parameterization.

Panics

Panics if alpha is not in (0, 1).

pub fn from_window(window: usize) -> Self

Create from an equivalent window size N: alpha = 2 / (N + 1).

pub fn from_halflife(halflife: f64) -> Self

Create from a half-life (number of steps for weight to decay by 50%).

pub fn update(&mut self, value: f64)

Update with a single observation.

pub fn batch_update(&mut self, values: &[f64])

Update with a batch of observations (applied sequentially).

pub fn mean(&self) -> f64

Current EMA mean.

pub fn var(&self) -> f64

Current EMA variance.

pub fn std(&self) -> f64

Current EMA standard deviation.

pub fn normalize(&self, value: f64) -> f64

Normalize a value using current EMA mean and std.

pub fn count(&self) -> u64

Number of observations seen.

pub fn alpha(&self) -> f64

The smoothing factor.

pub fn reset(&mut self)

Reset to initial state.

Trait Implementations

impl Clone for ExponentialRunningStats

fn clone(&self) -> ExponentialRunningStats

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for ExponentialRunningStats

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.