> ... different domains use different names ... I agree. In engineering, many of these algorithms can be coded using digital filters. Here's the exponential

> ... different domains use different names ... I agree. In engineering, many of these algorithms can be coded using digital filters. Here's the exponential weighted variance: import scipy.signal as dsp import numpy as np b = np.array([alpha]) a = np.array([1., -(1 - alpha)]) # Compute exponential weighted average signal_ = dsp.lfilter(b, a, signal) # Compute exponential weighted variance ewv = dsp.lfilter(b, a, (signal - signal_)**2)