I've tried to calculate this sum:
$$\sum_{n=1}^{\infty} n a^n$$
The point of this is to try to work out the "mean" term in an exponentially decaying average.
I've done the following:
$$\text{let }x = \sum_{n=1}^{\infty} n a^n$$ $$x = a + a \sum_{n=1}^{\infty} (n+1) a^n$$ $$x = a + a (\sum_{n=1}^{\infty} n a^n + \sum_{n=1}^{\infty} a^n)$$ $$x = a + a (x + \sum_{n=1}^{\infty} a^n)$$ $$x = a + ax + a\sum_{n=1}^{\infty} a^n$$ $$(1-a)x = a + a\sum_{n=1}^{\infty} a^n$$
Lets try to work out the $\sum_{n=1}^{\infty} a^n$ part:
$$let y = \sum_{n=1}^{\infty} a^n$$ $$y = a + a \sum_{n=1}^{\infty} a^n$$ $$y = a + ay$$ $$y - ay = a$$ $$y(1-a) = a$$ $$y = a/(1-a)$$
Substitute y back in:
$$(1-a)x = a + a*(a/(1-a))$$ $$(1-a)^2 x = a(1-a) + a^2$$ $$(1-a)^2 x = a - a^2 + a^2$$ $$(1-a)^2 x = a$$ $$x = a/(1-a)^2$$
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 $(1-a)$. 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 $(1-a)$ to get the result:
Exponential moving average "mean term" = $a/(1-a)$
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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