What is the half-life of an EWMA estimator with a decay factor of 0.96 and 32 data

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What is the half-life of an EWMA estimator with a decay factor of 0.96 and 32 data points? What is the length of a rectangular window with the most similar half-life?

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Quantitative Financial Risk Management

ISBN: 9781119522201,9781119522263

1st Edition

Authors: Michael B. Miller

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Question Posted: Mar 03, 2024 10:29 AM

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What is the half-life of an EWMA estimator with a decay factor of 0.96 and 32 data

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Quantitative Financial Risk Management

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