calculate exponential moving average in python

Question

I have a range of dates and a measurement on each of those dates. I\'d like to calculate an exponential moving average for each of the dates. Does anybody know how to do t

Answer 1

Papahaba's answer was almost what I was looking for (thanks!) but I needed to match initial conditions. Using an IIR filter with scipy.signal.lfilter is certainly the most efficient. Here's my redux:

Given a NumPy vector, x

import numpy as np
from scipy import signal

period = 12
b = np.array((1,), 'd')
a = np.array((period, 1-period), 'd')
zi = signal.lfilter_zi(b, a)
y, zi = signal.lfilter(b, a, x, zi=zi*x[0:1])

Get the N-point EMA (here, 12) returned in the vector y