/** * @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 ignoring `NaN` values and using a one-pass trial mean algorithm. * * ## Method * * - This implementation uses a one-pass trial mean approach, as suggested by Chan et al (1983). * * ## 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). * - Ling, Robert F. 1974. "Comparison of Several Algorithms for Computing Sample Means and Variances." _Journal of the American Statistical Association_ 69 (348). American Statistical Association, Taylor & Francis, Ltd.: 859–66. doi:[10.2307/2286154](https://doi.org/10.2307/2286154). * - Chan, Tony F., Gene H. Golub, and Randall J. LeVeque. 1983. "Algorithms for Computing the Sample Variance: Analysis and Recommendations." _The American Statistician_ 37 (3). American Statistical Association, Taylor & Francis, Ltd.: 242–47. doi:[10.1080/00031305.1983.10483115](https://doi.org/10.1080/00031305.1983.10483115). * - 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 {NumericArray} x - input array * @param {integer} stride - stride length * @param {NonNegativeInteger} offset - starting index * @returns {number} variance * * @example * var floor = require( '@stdlib/math/base/special/floor' ); * * var x = [ 2.0, 1.0, 2.0, -2.0, -2.0, 2.0, 3.0, 4.0, NaN, NaN ]; * var N = floor( x.length / 2 ); * * var v = nanvariancech( N, 1, x, 2, 1 ); * // returns 6.25 */ function nanvariancech( N, correction, x, stride, offset ) { var mu; var ix; var M2; var nc; var M; var d; var v; var n; var i; if ( N <= 0 ) { return NaN; } if ( N === 1 || stride === 0 ) { v = x[ offset ]; if ( v === v && N-correction > 0.0 ) { return 0.0; } return NaN; } ix = offset; // Find an estimate for the mean... for ( i = 0; i < N; i++ ) { v = x[ ix ]; if ( v === v ) { mu = v; break; } ix += stride; } if ( i === N ) { return NaN; } ix += stride; i += 1; // Compute the variance... M2 = 0.0; M = 0.0; n = 1; for ( i; i < N; i++ ) { v = x[ ix ]; if ( v === v ) { d = v - mu; M2 += d * d; M += d; n += 1; } ix += stride; } nc = n - correction; if ( nc <= 0.0 ) { return NaN; } return (M2/nc) - ((M/n)*(M/nc)); } // EXPORTS // module.exports = nanvariancech;