time-to-botec/js/node_modules/@stdlib/stats/base/variancewd/lib/variancewd.js

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/**
* @license Apache-2.0
*
* Copyright (c) 2020 The Stdlib Authors.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
'use strict';
// MAIN //
/**
* Computes the variance of a strided array using Welford's algorithm.
*
* ## Method
*
* - This implementation uses Welford's algorithm for efficient computation, which can be derived as follows. Let
*
* ```tex
* \begin{align*}
* S_n &= n \sigma_n^2 \\
* &= \sum_{i=1}^{n} (x_i - \mu_n)^2 \\
* &= \biggl(\sum_{i=1}^{n} x_i^2 \biggr) - n\mu_n^2
* \end{align*}
* ```
*
* Accordingly,
*
* ```tex
* \begin{align*}
* S_n - S_{n-1} &= \sum_{i=1}^{n} x_i^2 - n\mu_n^2 - \sum_{i=1}^{n-1} x_i^2 + (n-1)\mu_{n-1}^2 \\
* &= x_n^2 - n\mu_n^2 + (n-1)\mu_{n-1}^2 \\
* &= x_n^2 - \mu_{n-1}^2 + n(\mu_{n-1}^2 - \mu_n^2) \\
* &= x_n^2 - \mu_{n-1}^2 + n(\mu_{n-1} - \mu_n)(\mu_{n-1} + \mu_n) \\
* &= x_n^2 - \mu_{n-1}^2 + (\mu_{n-1} - x_n)(\mu_{n-1} + \mu_n) \\
* &= x_n^2 - \mu_{n-1}^2 + \mu_{n-1}^2 - x_n\mu_n - x_n\mu_{n-1} + \mu_n\mu_{n-1} \\
* &= x_n^2 - x_n\mu_n - x_n\mu_{n-1} + \mu_n\mu_{n-1} \\
* &= (x_n - \mu_{n-1})(x_n - \mu_n) \\
* &= S_{n-1} + (x_n - \mu_{n-1})(x_n - \mu_n)
* \end{align*}
* ```
*
* where we use the identity
*
* ```tex
* x_n - \mu_{n-1} = n (\mu_n - \mu_{n-1})
* ```
*
* ## References
*
* - Welford, B. P. 1962. "Note on a Method for Calculating Corrected Sums of Squares and Products." _Technometrics_ 4 (3). Taylor & Francis: 41920. doi:[10.1080/00401706.1962.10490022](https://doi.org/10.1080/00401706.1962.10490022).
* - van Reeken, A. J. 1968. "Letters to the Editor: Dealing with Neely's Algorithms." _Communications of the ACM_ 11 (3): 14950. doi:[10.1145/362929.362961](https://doi.org/10.1145/362929.362961).
*
* @param {PositiveInteger} N - number of indexed elements
* @param {number} correction - degrees of freedom adjustment
* @param {NumericArray} x - input array
* @param {integer} stride - stride length
* @returns {number} variance
*
* @example
* var x = [ 1.0, -2.0, 2.0 ];
*
* var v = variancewd( x.length, 1, x, 1 );
* // returns ~4.3333
*/
function variancewd( N, correction, x, stride ) {
var delta;
var mu;
var M2;
var ix;
var v;
var n;
var i;
n = N - correction;
if ( N <= 0 || n <= 0.0 ) {
return NaN;
}
if ( N === 1 || stride === 0 ) {
return 0.0;
}
if ( stride < 0 ) {
ix = (1-N) * stride;
} else {
ix = 0;
}
M2 = 0.0;
mu = 0.0;
for ( i = 0; i < N; i++ ) {
v = x[ ix ];
delta = v - mu;
mu += delta / (i+1);
M2 += delta * ( v - mu );
ix += stride;
}
return M2 / n;
}
// EXPORTS //
module.exports = variancewd;