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Assets/Mirror/Core/Tools/ExponentialMovingAverage.cs

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+// N-day EMA implementation from Mirror with a few changes (struct etc.)
+// it calculates an exponential moving average roughly equivalent to the last n observations
+// https://en.wikipedia.org/wiki/Moving_average#Exponential_moving_average
+using System;
+
+namespace Mirror
+{
+    public struct ExponentialMovingAverage
+    {
+        readonly double alpha;
+        bool initialized;
+
+        public double Value;
+        public double Variance;
+        public double StandardDeviation; // absolute value, see test
+
+        public ExponentialMovingAverage(int n)
+        {
+            // standard N-day EMA alpha calculation
+            alpha = 2.0 / (n + 1);
+            initialized = false;
+            Value = 0;
+            Variance = 0;
+            StandardDeviation = 0;
+        }
+
+        public void Add(double newValue)
+        {
+            // simple algorithm for EMA described here:
+            // https://en.wikipedia.org/wiki/Moving_average#Exponentially_weighted_moving_variance_and_standard_deviation
+            if (initialized)
+            {
+                double delta = newValue - Value;
+                Value += alpha * delta;
+                Variance = (1 - alpha) * (Variance + alpha * delta * delta);
+                StandardDeviation = Math.Sqrt(Variance);
+            }
+            else
+            {
+                Value = newValue;
+                initialized = true;
+            }
+        }
+
+        public void Reset()
+        {
+            initialized = false;
+            Value = 0;
+            Variance = 0;
+            StandardDeviation = 0;
+        }
+    }
+}