incrmvariance

Compute a moving unbiased sample variance incrementally.

Usage

var incrmvariance = require( '@stdlib/math/stats/incr/mvariance' );

incrmvariance( window )

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

var accumulator = incrmvariance( 3 );

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 s2 = accumulator();
// returns null

// Fill the window...
s2 = accumulator( 2.0 ); // [2.0]
// returns 0.0

s2 = accumulator( 1.0 ); // [2.0, 1.0]
// returns 0.5

s2 = accumulator( 3.0 ); // [2.0, 1.0, 3.0]
// returns 1.0

// Window begins sliding...
s2 = accumulator( -7.0 ); // [1.0, 3.0, -7.0]
// returns 28.0

s2 = accumulator( -5.0 ); // [3.0, -7.0, -5.0]
// returns 28.0

s2 = accumulator();
// returns 28.0

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.
  • The first W-1 returned unbiased sample variance values will have less statistical support than subsequent unbiased sample variance values, as W values are needed to fill the window buffer. Until the window is full, the returned unbiased sample variance equals the unbiased sample variance of all provided values.

Examples

var randu = require( '@stdlib/random/base/randu' );
var incrmvariance = require( '@stdlib/math/stats/incr/mvariance' );

var accumulator;
var v;
var i;

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

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