series_dbl_exp_smoothing_fl()

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Applies to: ✅ Azure Data Explorer ✅ Azure Monitor ✅ Microsoft Sentinel

Applies a double exponential smoothing filter on a series.

The function series_dbl_exp_smoothing_fl() is a user-defined function (UDF) that takes an expression containing a dynamic numerical array as input and applies a double exponential smoothing filter. When there is trend in the series, this function is superior to the series_exp_smoothing_fl() function, which implements a basic exponential smoothing filter.

Syntax

series_dbl_exp_smoothing_fl(y_series [, alpha [, beta ]])

Learn more about syntax conventions.

Parameters

Name Type Required Description
y_series dynamic ✔️ An array of numeric values.
alpha real A value in the range [0-1] that specifies the weight of the last point vs. the weight of the previous points, which is 1 - alpha. The default is 0.5.
beta real A value in the range [0-1] that specifies the weight of the last slope vs. the weight of the previous slopes, which is 1 - beta. The default is 0.5.

Function definition

You can define the function by either embedding its code as a query-defined function, or creating it as a stored function in your database, as follows:

Define the function using the following let statement. No permissions are required.

Important

A let statement can't run on its own. It must be followed by a tabular expression statement. To run a working example of series_dbl_exp_smoothing_fl(), see Example.

let series_dbl_exp_smoothing_fl = (y_series:dynamic, alpha:double=0.5, beta:double=0.5)
{
    series_iir(y_series, pack_array(alpha, alpha*(beta-1)), pack_array(1, alpha*(1+beta)-2, 1-alpha))
};
// Write your query to use the function here.

Example

To use a query-defined function, invoke it after the embedded function definition.

let series_dbl_exp_smoothing_fl = (y_series:dynamic, alpha:double=0.5, beta:double=0.5)
{
    series_iir(y_series, pack_array(alpha, alpha*(beta-1)), pack_array(1, alpha*(1+beta)-2, 1-alpha))
};
range x from 1 to 50 step 1
| extend y = x + rand()*10
| summarize x = make_list(x), y = make_list(y)
| extend dbl_exp_smooth_y = series_dbl_exp_smoothing_fl(y, 0.2, 0.4) 
| render linechart

Output

Graph showing double exponential smoothing of artificial series.

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