This C library provides rolling time series operators for unevenly spaced data, such as simple moving averages (SMAs), exponential moving averages (EMAs), and various rolling functions. The SMAs and EMAs support three different interpolation schemes.
The implementation details are described in "Algorithms for Unevenly Spaced Time Series: Moving Averages and Other Rolling Operators", Eckner (2017).
Please see README_Linux and README_Windows for how to compile the code and run the test program under Linux and Windows, respectively.