@stdlib/stats-incr-mmeanstdev
TypeScript icon, indicating that this package has built-in type declarations

0.2.1 • Public • Published
About stdlib...

We believe in a future in which the web is a preferred environment for numerical computation. To help realize this future, we've built stdlib. stdlib is a standard library, with an emphasis on numerical and scientific computation, written in JavaScript (and C) for execution in browsers and in Node.js.

The library is fully decomposable, being architected in such a way that you can swap out and mix and match APIs and functionality to cater to your exact preferences and use cases.

When you use stdlib, you can be absolutely certain that you are using the most thorough, rigorous, well-written, studied, documented, tested, measured, and high-quality code out there.

To join us in bringing numerical computing to the web, get started by checking us out on GitHub, and please consider financially supporting stdlib. We greatly appreciate your continued support!

incrmmeanstdev

NPM version Build Status Coverage Status

Compute a moving arithmetic mean and corrected sample standard deviation incrementally.

For a window of size W, the arithmetic mean is defined as

Equation for the arithmetic mean.
-->

and the corrected sample standard deviation is defined as

Installation

npm install @stdlib/stats-incr-mmeanstdev

Usage

var incrmmeanstdev = require( '@stdlib/stats-incr-mmeanstdev' );

incrmmeanstdev( [out,] window )

Returns an accumulator function which incrementally computes a moving arithmetic mean and corrected sample standard deviation. The window parameter defines the number of values over which to compute the moving arithmetic mean and corrected sample standard deviation.

var accumulator = incrmmeanstdev( 3 );

By default, the returned accumulator function returns the accumulated values as a two-element array. To avoid unnecessary memory allocation, the function supports providing an output (destination) object.

var Float64Array = require( '@stdlib/array-float64' );

var accumulator = incrmmeanstdev( new Float64Array( 2 ), 3 );

accumulator( [x] )

If provided an input value x, the accumulator function returns updated accumulated values. If not provided an input value x, the accumulator function returns the current accumulated values.

var accumulator = incrmmeanstdev( 3 );

var out = accumulator();
// returns null

// Fill the window...
out = accumulator( 2.0 ); // [2.0]
// returns [ 2.0, 0.0 ]

out = accumulator( 1.0 ); // [2.0, 1.0]
// returns [ 1.5, ~0.71 ]

out = accumulator( 3.0 ); // [2.0, 1.0, 3.0]
// returns [ 2.0, 1.0 ]

// Window begins sliding...
out = accumulator( -7.0 ); // [1.0, 3.0, -7.0]
// returns [ -1.0, ~5.29 ]

out = accumulator( -5.0 ); // [3.0, -7.0, -5.0]
// returns [ -3.0, ~5.29 ]

out = accumulator();
// returns [ -3.0, ~5.29 ]

Notes

  • Input values are not type checked. If provided NaN, the accumulated values are NaN for at least W-1 future invocations. If non-numeric inputs are possible, you are advised to type check and handle accordingly before passing the value to the accumulator function.
  • As W values are needed to fill the window buffer, the first W-1 returned values are calculated from smaller sample sizes. Until the window is full, each returned value is calculated from all provided values.

Examples

var randu = require( '@stdlib/random-base-randu' );
var Float64Array = require( '@stdlib/array-float64' );
var ArrayBuffer = require( '@stdlib/array-buffer' );
var incrmmeanstdev = require( '@stdlib/stats-incr-mmeanstdev' );

var offset;
var acc;
var buf;
var out;
var ms;
var N;
var v;
var i;
var j;

// Define the number of accumulators:
N = 5;

// Create an array buffer for storing accumulator output:
buf = new ArrayBuffer( N*2*8 ); // 8 bytes per element

// Initialize accumulators:
acc = [];
for ( i = 0; i < N; i++ ) {
    // Compute the byte offset:
    offset = i * 2 * 8; // stride=2, bytes_per_element=8

    // Create a new view for storing accumulated values:
    out = new Float64Array( buf, offset, 2 );

    // Initialize an accumulator which will write results to the view:
    acc.push( incrmmeanstdev( out, 5 ) );
}

// Simulate data and update the moving sample means and standard deviations...
for ( i = 0; i < 100; i++ ) {
    for ( j = 0; j < N; j++ ) {
        v = randu() * 100.0 * (j+1);
        acc[ j ]( v );
    }
}

// Print the final results:
console.log( 'Mean\tStDev' );
for ( i = 0; i < N; i++ ) {
    ms = acc[ i ]();
    console.log( '%d\t%d', ms[ 0 ].toFixed( 3 ), ms[ 1 ].toFixed( 3 ) );
}

See Also


Notice

This package is part of stdlib, a standard library for JavaScript and Node.js, with an emphasis on numerical and scientific computing. The library provides a collection of robust, high performance libraries for mathematics, statistics, streams, utilities, and more.

For more information on the project, filing bug reports and feature requests, and guidance on how to develop stdlib, see the main project repository.

Community

Chat


License

See LICENSE.

Copyright

Copyright © 2016-2024. The Stdlib Authors.

Package Sidebar

Install

npm i @stdlib/stats-incr-mmeanstdev

Homepage

stdlib.io

Weekly Downloads

14

Version

0.2.1

License

Apache-2.0

Unpacked Size

65.2 kB

Total Files

13

Last publish

Collaborators

  • stdlib-bot
  • kgryte
  • planeshifter
  • rreusser