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Time-weighted average functions

Time weighted averages are commonly used in cases where a time series is not evenly sampled, so a traditional average will give misleading results. Consider a voltage sensor that sends readings once every 5 minutes or whenever the value changes by more than 1 V from the previous reading. If the results are generally stable, but with some quick moving transients, a simple average over all of the points will tend to over-weight the transients instead of the stable readings. A time weighted average weights each value by the duration over which it occurred based on the points around it and produces correct results for unevenly spaced series.

TimescaleDB Toolkit's time weighted average is implemented as an aggregate which weights each value either using a last observation carried forward (LOCF) approach or a linear interpolation approach.

tip

In order to use functions in the TimescaleDB Toolkit, ensure that the extension is installed and available within your database.

As with other Toolkit functions that support two-step aggregations, the time_weight function produces a summary output (TimeWeightSummary) which is intended to be consumed by either the average or rollup function Additionally, the output of time_weightcan be stored in a Continuous Aggregate and re-aggregated or analyzed later.

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