skyjumper:
My question is, what is a reasonable value to initialize with?
-
Average of N samples where N is about the same history you get from the EWMA (for ? = 0.9, N = 4 is adequate).
-
Start at zero and toss out values until the EWMA has a complete history (for ? = 0.9 the first six values are be discarded).
-
Or, as @Grumpy_Mike said, one sample.
It depends on what you are trying to accomplish (and whether or not you're a statistician).