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incrmmeanvar

Compute a moving arithmetic mean and unbiased sample variance incrementally.

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

$$\bar{x} = \frac{1}{W} \sum_{i=0}^{W-1} x_i$$

and the unbiased sample variance is defined as

$$s^2 = \frac{1}{W-1} \sum_{i=0}^{W-1} ( x_i - \bar{x} )^2$$

Installation

npm install @stdlib/stats-incr-mmeanvar

Alternatively,

• To load the package in a website via a script tag without installation and bundlers, use the ES Module available on the esm branch (see README).
• If you are using Deno, visit the deno branch (see README for usage intructions).
• For use in Observable, or in browser/node environments, use the Universal Module Definition (UMD) build available on the umd branch (see README).

The branches.md file summarizes the available branches and displays a diagram illustrating their relationships.

To view installation and usage instructions specific to each branch build, be sure to explicitly navigate to the respective README files on each branch, as linked to above.

Usage

var incrmmeanvar = require( '@stdlib/stats-incr-mmeanvar' );

incrmmeanvar( [out,] window )

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

var accumulator = incrmmeanvar( 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 = incrmmeanvar( 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 = incrmmeanvar( 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, 0.5 ]

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, 28.0 ]

out = accumulator( -5.0 ); // [3.0, -7.0, -5.0]
// returns [ -3.0, 28.0 ]

out = accumulator();
// returns [ -3.0, 28.0 ]

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 incrmmeanvar = require( '@stdlib/stats-incr-mmeanvar' );

var offset;
var acc;
var buf;
var out;
var mv;
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( incrmmeanvar( out, 5 ) );
}

// Simulate data and update the moving sample means and variances...
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\tVariance' );
for ( i = 0; i < N; i++ ) {
    mv = acc[ i ]();
    console.log( '%d\t%d', mv[ 0 ].toFixed( 3 ), mv[ 1 ].toFixed( 3 ) );
}

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See Also

• @stdlib/stats-incr/meanvar: compute an arithmetic mean and unbiased sample variance incrementally.
• @stdlib/stats-incr/mmean: compute a moving arithmetic mean incrementally.
• @stdlib/stats-incr/mmeanstdev: compute a moving arithmetic mean and corrected sample standard deviation incrementally.
• @stdlib/stats-incr/mvariance: compute a moving unbiased sample variance incrementally.

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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

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License

See LICENSE.

Copyright

Copyright © 2016-2024. The Stdlib Authors.