time-to-botec/squiggle/node_modules/@stdlib/stats/incr/mstdev

incrmstdev

Compute a moving corrected sample standard deviation incrementally.

For a window of size W, the corrected sample standard deviation is defined as

Usage

var incrmstdev = require( '@stdlib/stats/incr/mstdev' );

incrmstdev( window[, mean] )

Returns an accumulator function which incrementally computes a moving corrected sample standard deviation. The window parameter defines the number of values over which to compute the moving corrected sample standard deviation.

var accumulator = incrmstdev( 3 );

If the mean is already known, provide a mean argument.

var accumulator = incrmstdev( 3, 5.0 );

accumulator( [x] )

If provided an input value x, the accumulator function returns an updated corrected sample standard deviation. If not provided an input value x, the accumulator function returns the current corrected sample standard deviation.

var accumulator = incrmstdev( 3 );

var s = accumulator();
// returns null

// Fill the window...
s = accumulator( 2.0 ); // [2.0]
// returns 0.0

s = accumulator( 1.0 ); // [2.0, 1.0]
// returns ~0.7071

s = accumulator( 3.0 ); // [2.0, 1.0, 3.0]
// returns 1.0

// Window begins sliding...
s = accumulator( -7.0 ); // [1.0, 3.0, -7.0]
// returns ~5.29

s = accumulator( -5.0 ); // [3.0, -7.0, -5.0]
// returns ~5.29

s = accumulator();
// returns ~5.29

Notes

• Input values are not type checked. If provided NaN or a value which, when used in computations, results in NaN, the accumulated value is NaN for at least W-1 future invocations. If non-numeric inputs are possible, you are advised to type check and handle accordingly before passing the value to the accumulator function.
• As W values are needed to fill the window buffer, the first W-1 returned values are calculated from smaller sample sizes. Until the window is full, each returned value is calculated from all provided values.

Examples

var randu = require( '@stdlib/random/base/randu' );
var incrmstdev = require( '@stdlib/stats/incr/mstdev' );

var accumulator;
var v;
var i;

// Initialize an accumulator:
accumulator = incrmstdev( 5 );

// For each simulated datum, update the moving corrected sample standard deviation...
for ( i = 0; i < 100; i++ ) {
    v = randu() * 100.0;
    accumulator( v );
}
console.log( accumulator() );