1 files changed, 51 insertions, 0 deletions
diff --git a/lib/variance_exponential.c b/lib/variance_exponential.c
new file mode 100755
index 0000000..338a140
--- /dev/null
+++ b/lib/variance_exponential.c
@@ -0,0 +1,51 @@
+// Exponential Variance
+//
+// variance_exponential
+//
+// Inputs:    1
+// Outputs:   1
+// Constants: 0
+
+#include "ts.h"
+
+
+typedef struct {
+    fp_t a;
+} ts_variance_exponential_params_t;
+
+ts_parameter_t const ts_variance_exponential_p = { .n_inputs = 1, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_variance_exponential_params_t) };
+
+
+uint_t ts_variance_exponential_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( 0 );
+}
+
+int ts_variance_exponential(
+	fp_t * const *y, uint_t y_n,
+	fp_t const * const *x, uint_t x_n,
+	uint_t n, ts_constant_t const *c
+)
+{
+	TS_PROLOGUE( ts_variance_exponential_p );
+	if ( !c ) return -1;
+	if (n == 0) return -1;
+
+	fp_t a = ((ts_variance_exponential_params_t *)c)->a;
+	if (a == 0) return -1;
+
+	y[0][0] = 0;
+
+	fp_t delta;
+	fp_t ema = x[0][0];
+
+	for( uint_t i = 1; i < n; ++i )
+	{
+		delta = x[0][i] - ema;
+		ema = ema + a * delta;
+		y[0][i] = ( 1 - a ) * ( y[0][i - 1] + a * _ts_square( delta ) );
+	}
+	return 0;
+}
+