/** * @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'; // MODULES // var float64ToFloat32 = require( '@stdlib/number/float64/base/to-float32' ); var ssumpw = require( '@stdlib/blas/ext/base/ssumpw' ).ndarray; // MAIN // /** * Computes the variance of a single-precision floating-point strided array using a two-pass algorithm. * * ## Method * * - This implementation uses a two-pass approach, as suggested by Neely (1966). * * ## References * * - Neely, Peter M. 1966. "Comparison of Several Algorithms for Computation of Means, Standard Deviations and Correlation Coefficients." _Communications of the ACM_ 9 (7). Association for Computing Machinery: 496–99. doi:[10.1145/365719.365958](https://doi.org/10.1145/365719.365958). * - Schubert, Erich, and Michael Gertz. 2018. "Numerically Stable Parallel Computation of (Co-)Variance." In _Proceedings of the 30th International Conference on Scientific and Statistical Database Management_. New York, NY, USA: Association for Computing Machinery. doi:[10.1145/3221269.3223036](https://doi.org/10.1145/3221269.3223036). * * @param {PositiveInteger} N - number of indexed elements * @param {number} correction - degrees of freedom adjustment * @param {Float32Array} x - input array * @param {integer} stride - stride length * @param {NonNegativeInteger} offset - starting index * @returns {number} variance * * @example * var Float32Array = require( '@stdlib/array/float32' ); * var floor = require( '@stdlib/math/base/special/floor' ); * * var x = new Float32Array( [ 2.0, 1.0, 2.0, -2.0, -2.0, 2.0, 3.0, 4.0 ] ); * var N = floor( x.length / 2 ); * * var v = svariancepn( N, 1, x, 2, 1 ); * // returns 6.25 */ function svariancepn( N, correction, x, stride, offset ) { var mu; var ix; var M2; var M; var d; var n; var i; n = N - correction; if ( N <= 0 || n <= 0.0 ) { return NaN; } if ( N === 1 || stride === 0 ) { return 0.0; } // Compute an estimate for the mean: mu = ssumpw( N, x, stride, offset ) / N; // Compute the variance... ix = offset; M2 = 0.0; M = 0.0; for ( i = 0; i < N; i++ ) { d = float64ToFloat32( x[ ix ] - mu ); M2 = float64ToFloat32( M2 + float64ToFloat32( d*d ) ); M = float64ToFloat32( M + d ); ix += stride; } return float64ToFloat32( float64ToFloat32(M2/n) - float64ToFloat32( float64ToFloat32(M/N)*float64ToFloat32(M/n) ) ); // eslint-disable-line max-len } // EXPORTS // module.exports = svariancepn;