Online Filters Create Causal Features: Forecasting with Exponential Smoothing

Day 3 of the Short Series: Signal Processing Tools for Time Series

Fourier methods reveal cycles. Wavelets reveal changes. Online filters do something slightly different: they turn a raw time series into features that update continuously as new data arrives.

This article introduces online filtering through exponential smoothing. The method is simple, causal, and useful in real forecasting systems. It gives us features s…