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I have discrete measured values $f_n$ and construct a smoothed series $g_n$ using the recursive formula $$g_0=f_0 \\ g_n=(1-\alpha)g_{n-1}+\alpha f_n$$ where $\alpha\in\langle0,1\rangle$ is a weight parameter ($\alpha=1 \Leftrightarrow f\equiv g$).

Is there some established name for this smoothing transformation?

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up vote 3 down vote accepted

Yes. Your algorithm is called 'exponential moving average', and it's quite common in stock price estimation.

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Thanks a lot! For the record, wikipedia has a section on it at en.wikipedia.org/wiki/Moving_average#Exponential_moving_average. –  eudoxos Oct 22 '12 at 9:29

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