/** * @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 isNonNegativeNumber = require( '@stdlib/assert/is-nonnegative-number' ).isPrimitive; var sqrt = require( '@stdlib/math/base/special/sqrt' ); // MAIN // /** * Returns an accumulator function which incrementally computes an exponentially weighted standard deviation. * * @param {NonNegativeNumber} alpha - smoothing factor * @throws {TypeError} must provide a nonnegative number * @throws {RangeError} must be on the interval `[0,1]` * @returns {Function} accumulator function * * @example * var accumulator = increwstdev( 0.5 ); * * var s = accumulator(); * // returns null * * s = accumulator( 2.0 ); * // returns 0.0 * * s = accumulator( -5.0 ); * // returns 3.5 * * s = accumulator(); * // returns 3.5 */ function increwstdev( alpha ) { var incr; var s2; var s; var r; var m; var c; if ( !isNonNegativeNumber( alpha ) ) { throw new TypeError( 'invalid argument. Must provide a nonnegative number. Value: `' + alpha + '`.' ); } if ( alpha < 0.0 || alpha > 1.0 ) { throw new RangeError( 'invalid argument. Must provide a nonnegative number on the interval [0,1]. Value: `' + alpha + '`.' ); } c = 1.0 - alpha; return accumulator; /** * If provided a value, the accumulator function returns an updated standard deviation. If not provided a value, the accumulator function returns the current standard deviation. * * @private * @param {number} [x] - new value * @returns {(number|null)} standard deviation or null */ function accumulator( x ) { if ( arguments.length === 0 ) { return ( s === void 0 ) ? null : s; } if ( s === void 0 ) { m = x; s2 = 0.0; } else { r = x - m; incr = alpha * r; m += incr; s2 = c * ( s2+(r*incr) ); } s = sqrt( s2 ); return s; } } // EXPORTS // module.exports = increwstdev;