NVIDIA / NVIDIA/cudf

[FEA] need official EWM function

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#1,263 23 comments 1 reaction 1 assignee Claimed by @brandon-b-miller View on GitHub
feature request libcudf Python
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C++
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Description

**Is your feature request related to a problem? Please describe.**
EWM is a very popular method used in time series analysis, especially in the domain of FSI. cuIndicator is using EWM a lot to compute the technical indicators. It is good to have official support in the cuDF.

**Describe the solution you'd like**
DataFrame.ewm(com=None, span=None, halflife=None, alpha=None, min_periods=0, adjust=True, ignore_na=False, axis=0). The same interface as the Pandas [EWM function](https://pandas.pydata.org/pandas-docs/stable/reference/api/pandas.DataFrame.ewm.html)

**Describe alternatives you've considered**
cuIndicator has the implementation that is based on rolling window methods. [cuIndicator EWM](https://yagr.nvidia.com/saefsi/cuindicator/blob/master/cuindicator/ewm.py).

**Additional context**
EWM can be implemented by prefix-sum method if we weight the past carefully. I have the example implementation for it.

- [x] mean
- [ ] standard deviation
- [ ] variance
- [ ] covariance
- [ ] correlation

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