I'm trying to implement an exponential moving average (EMA) on postgres, but as I check documentation and think about it the more I try the more confused I am.
The formula for EMA(x)
is:
EMA(x1) = x1 EMA(xn) = α * xn + (1 - α) * EMA(xn-1)
It seems to be perfect for an aggregator, keeping the result of the last calculated element is exactly what has to be done here. However an aggregator produces one single result (as reduce, or fold) and here we need a list (a column) of results (as map). I have been checking how procedures and functions work, but AFAIK they produce one single output, not a column. I have seen plenty of procedures and functions, but I can't really figure out how does this interact with relational algebra, especially when doing something like this, an EMA.
I did not have luck searching the Internets so far. But the definition for an EMA is quite simple, I hope it is possible to translate this definition into something that works in postgres and is simple and efficient, because moving to NoSQL is going to be excessive in my context.
Thank you.
PD: here you can see an example:
https://docs.google.com/spreadsheet/ccc?key=0AvfclSzBscS6dDJCNWlrT3NYdDJxbkh3cGJ2S2V0cVE