In which cases it would make sense to use exponentially weighted moving average (EWMA) before, for example, computing sample variance or other statistical analysis? Could you give an example when one needs to remove high frequencies before performing some analysis?
My idea: A random walk + noise state-space model is equivalent to a EWMA, see, for example, discussion here:What is the difference between Kalman filter and moving average?
Therefore, if one first performs EWMA and then computing std, then it is an estimate of the transition std.