Sunday, May 6, 2018

sequences and series - How to calculate: suminftyn=1nan

I've tried to calculate this sum:


n=1nan


The point of this is to try to work out the "mean" term in an exponentially decaying average.


I've done the following:


let x=n=1nan x=a+an=1(n+1)an x=a+a(n=1nan+n=1an) x=a+a(x+n=1an) x=a+ax+an=1an (1a)x=a+an=1an


Lets try to work out the n=1an part:


lety=n=1an y=a+an=1an y=a+ay yay=a y(1a)=a y=a/(1a)


Substitute y back in:


(1a)x=a+a(a/(1a)) (1a)2x=a(1a)+a2 (1a)2x=aa2+a2 (1a)2x=a x=a/(1a)2



Is this right, and if so is there a shorter way?


Edit:


To actually calculate the "mean" term of a exponential moving average we need to keep in mind that terms are weighted at the level of (1a). i.e. for a=1 there is no decay, for a=0 only the most recent term counts.


So the above result we need to multiply by (1a) to get the result:


Exponential moving average "mean term" = a/(1a)


This gives the results, for a=0, the mean term is the "0th term" (none other are used) whereas for a=0.5 the mean term is the "1st term" (i.e. after the current term).

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