/** * @license Apache-2.0 * * Copyright (c) 2018 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 isArrayLike = require( '@stdlib/assert/is-array-like-object' ); var isnan = require( '@stdlib/math/base/assert/is-nan' ); // MAIN // /** * Returns an accumulator function which incrementally computes an arithmetic mean and unbiased sample variance. * * ## 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: 419–20. 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): 149–50. doi:[10.1145/362929.362961](https://doi.org/10.1145/362929.362961). * * @param {Collection} [out] - output array * @throws {TypeError} output argument must be array-like * @returns {Function} accumulator function * * @example * var accumulator = incrmeanvar(); * * var mv = accumulator(); * // returns null * * mv = accumulator( 2.0 ); * // returns [ 2.0, 0.0 ] * * mv = accumulator( -5.0 ); * // returns [ -1.5, 24.5 ] * * mv = accumulator( 3.0 ); * // returns [ 0.0, 19.0 ] * * mv = accumulator( 5.0 ); * // returns [ 1.25, ~18.92 ] * * mv = accumulator(); * // returns [ 1.25, ~18.92 ] */ function incrmeanvar( out ) { var meanvar; var delta; var mu; var M2; var N; if ( arguments.length === 0 ) { meanvar = [ 0.0, 0.0 ]; } else { if ( !isArrayLike( out ) ) { throw new TypeError( 'invalid argument. Output argument must be an array-like object. Value: `' + out + '`.' ); } meanvar = out; } M2 = 0.0; mu = 0.0; N = 0; return accumulator; /** * If provided a value, the accumulator function returns updated results. If not provided a value, the accumulator function returns the current results. * * @private * @param {number} [x] - input value * @returns {(ArrayLikeObject|null)} output array or null */ function accumulator( x ) { if ( arguments.length === 0 ) { if ( N === 0 ) { return null; } meanvar[ 0 ] = mu; // Why? Because we cannot guarantee someone hasn't mutated the output array if ( N === 1 ) { if ( isnan( M2 ) ) { meanvar[ 1 ] = NaN; } else { meanvar[ 1 ] = 0.0; } return meanvar; } meanvar[ 1 ] = M2 / (N-1); return meanvar; } N += 1; delta = x - mu; mu += delta / N; M2 += delta * ( x - mu ); meanvar[ 0 ] = mu; if ( N < 2 ) { if ( isnan( M2 ) ) { meanvar[ 1 ] = NaN; } else { meanvar[ 1 ] = 0.0; } return meanvar; } meanvar[ 1 ] = M2 / (N-1); return meanvar; } } // EXPORTS // module.exports = incrmeanvar;