A book claims this as a motivation for introducing exponential averaging:
A disadvantage of ensemble averaging is that the resulting estimate cannot track dynamic changes occurring in the observed signal.
-- L. Sörnmo and P. Laguna, Bioelectrical signal processing in cardiac and neurological applications
The authors seem to use the term ensemble averaging to refer to averaging all observations of a stochastic process. Modifying this method to keep a moving average, i.e. averaging only the past $n$ observations instead of all of them, seems very close at hand.
Such a moving-average smoother would be able to track changes in the stochastic process being observed, just like the exponential-average smoother. Is this the difference in dynamic capabilities that the authors are referring to, or have I missed a deeper difference?
$$ \begin{align} Y_{\mathrm{ensemble,}N}(z) &= \frac{1}{N}\left(z^{0}+z^{-1}+z^{-2}+\cdots+z^{-(N-1)}\right)X(z) \\ Y_{\mathrm{exponential},\alpha}(z) &= \frac{\alpha}{1-(1-\alpha) z^{-1}}X(z) \end{align}$$
