Exponential Filter(指数滤波器)

Overview, time constant, and analog equivalent

The simplest filter is the exponential filter.  It is a low pass filter, intended to pass flow frequencies and attenuate high frequencies.  It has only one tuning parameter (other than the sample interval).   It requires the storage of only one variable -- the previous output.  It is an IIR (autoregressive) filter - the effects of an input change decay exponentially until the limits of displays or computer arithmetic hide it. 

In various disciplines, use of this filter is also referred to as “exponential smoothing”. In some disciplines such as investment analysis, the exponential filter is called an “Exponentially Weighted Moving Average” (EWMA), or just “Exponential Moving Average” (EMA).  This abuses the traditional ARMA “moving average” terminology of time series analysis, since there is no input history that is used - just the current input.

It is the discrete time equivalent of the “first order lag” commonly used in analog modeling of continuous-time control systems. In electrical circuits, an RC filter (filter with one resistor and one capacitor) is a first-order lag. When emphasizing the analogy to analog circuits, the single tuning parameter is the “time constant”, usually written as the lower case Greek letter Tau (τ).  In fact, the values at the discrete sample times exactly match the equivalent continuous time lag with the same time constant.  The relationship between the digital implementation and the time constant is shown in the equatio