@stdlib/stats-incr-variance NPM

incrvariance

Compute an unbiased sample variance incrementally.

The unbiased sample variance is defined as

Installation

npm install @stdlib/stats-incr-variance

Usage

var incrvariance = require( '@stdlib/stats-incr-variance' );

incrvariance( [mean] )

Returns an accumulator function which incrementally computes an unbiased sample variance.

var accumulator = incrvariance();

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

var accumulator = incrvariance( 3.0 );

accumulator( [x] )

If provided an input value x, the accumulator function returns an updated unbiased sample variance. If not provided an input value x, the accumulator function returns the current unbiased sample variance.

var accumulator = incrvariance();

var s2 = accumulator( 2.0 );
// returns 0.0

s2 = accumulator( 1.0 ); // => ((2-1.5)^2+(1-1.5)^2) / (2-1)
// returns 0.5

s2 = accumulator( 3.0 ); // => ((2-2)^2+(1-2)^2+(3-2)^2) / (3-1)
// returns 1.0

s2 = accumulator();
// returns 1.0

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 all 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.

Examples

var randu = require( '@stdlib/random-base-randu' );
var incrvariance = require( '@stdlib/stats-incr-variance' );

var accumulator;
var v;
var i;

// Initialize an accumulator:
accumulator = incrvariance();

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

Notice

This package is part of stdlib, a standard library for JavaScript and Node.js, with an emphasis on numerical and scientific computing. The library provides a collection of robust, high performance libraries for mathematics, statistics, streams, utilities, and more.

For more information on the project, filing bug reports and feature requests, and guidance on how to develop stdlib, see the main project repository.