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LPF/EWMA Time Constant setting

  1. Jul 15, 2010 #1
    The exponentially weighted moving average is essentially a first order low pass filter:

    y(t)=(1-a)*y(t-1) + a*u(t)
    where y(t) is the present filter output, u(t) is the present filter input, y(t-1) is the filter output at the previous time and a is the smoothing factor or filter parameter.

    From the derivation of the Lowpass filter:
    a = h/(T+h) where h is the time step and T is the time constant.

    When using this LPF as an EWMA, I want to smooth/average the values received between times t1 and t2 for example. Hence, would it be appropriate to set the Time Constant to (t2-t1) ? Or because it is a LPF does it mean that because I am using the time constant as the interval over which to be averaged that it will only reach 63.2% of its final value? I.e. Should I set it to 5*(t2-t1)?

    Any help or discussions on setting the Time constant would be gratefully appreciated.
  2. jcsd
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