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Compute a moving unbiased sample variance incrementally.
For a window of size W, the unbiased sample variance is defined as
import incrmvariance from 'https://cdn.jsdelivr.net/gh/stdlib-js/stats-incr-mvariance@deno/mod.js';Returns an accumulator function which incrementally computes a moving unbiased sample variance. The window parameter defines the number of values over which to compute the moving unbiased sample variance.
var accumulator = incrmvariance( 3 );If the mean is already known, provide a mean argument.
var accumulator = incrmvariance( 3, 5.0 );If provided an input value x, the accumulator function returns an updated unbiased sample variance. If not provided an input value x, the accumulator function returns the current unbiased sample variance.
var accumulator = incrmvariance( 3 );
var s2 = accumulator();
// returns null
// Fill the window...
s2 = accumulator( 2.0 ); // [2.0]
// returns 0.0
s2 = accumulator( 1.0 ); // [2.0, 1.0]
// returns 0.5
s2 = accumulator( 3.0 ); // [2.0, 1.0, 3.0]
// returns 1.0
// Window begins sliding...
s2 = accumulator( -7.0 ); // [1.0, 3.0, -7.0]
// returns 28.0
s2 = accumulator( -5.0 ); // [3.0, -7.0, -5.0]
// returns 28.0
s2 = accumulator();
// returns 28.0- Input values are not type checked. If provided
NaNor a value which, when used in computations, results inNaN, the accumulated value isNaNfor at leastW-1future 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
Wvalues are needed to fill the window buffer, the firstW-1returned values are calculated from smaller sample sizes. Until the window is full, each returned value is calculated from all provided values.
import randu from 'https://cdn.jsdelivr.net/gh/stdlib-js/random-base-randu@deno/mod.js';
import incrmvariance from 'https://cdn.jsdelivr.net/gh/stdlib-js/stats-incr-mvariance@deno/mod.js';
var accumulator;
var v;
var i;
// Initialize an accumulator:
accumulator = incrmvariance( 5 );
// For each simulated datum, update the moving unbiased sample variance...
for ( i = 0; i < 100; i++ ) {
v = randu() * 100.0;
accumulator( v );
}
console.log( accumulator() );@stdlib/stats-incr/mmean: compute a moving arithmetic mean incrementally.@stdlib/stats-incr/mstdev: compute a moving corrected sample standard deviation incrementally.@stdlib/stats-incr/msummary: compute a moving statistical summary incrementally.@stdlib/stats-incr/variance: compute an unbiased sample variance incrementally.
This package is part of stdlib, a standard library 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.
See LICENSE.
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