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authorStanislaw Halik <sthalik@misaki.pl>2016-05-06 09:12:33 +0200
committerStanislaw Halik <sthalik@misaki.pl>2016-05-06 09:18:15 +0200
commita2f5079b3dc4ca97961879c81df39660700120cb (patch)
tree7ebbcfe01fee2d4cb7729d83c93a410236e1df75 /opentrack
parent5897c22eca510293ab0c56dc9118cb1c5ca40b45 (diff)
api: add class for computing running variance
Diffstat (limited to 'opentrack')
-rwxr-xr-xopentrack/variance.hpp52
1 files changed, 52 insertions, 0 deletions
diff --git a/opentrack/variance.hpp b/opentrack/variance.hpp
new file mode 100755
index 00000000..55060b02
--- /dev/null
+++ b/opentrack/variance.hpp
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+#pragma once
+
+#include <cmath>
+
+// no copyright information other than the attribution below.
+
+// code shared as an example/tutorial of running variance
+// written by John D. Cook on the website <http://www.johndcook.com/blog/standard_deviation>
+
+// following references in the site's article:
+
+// Chan, Tony F.; Golub, Gene H.; LeVeque, Randall J. (1983).
+// Algorithms for Computing the Sample Variance: Analysis and Recommendations.
+// The American Statistician 37, 242-247.
+
+// Ling, Robert F. (1974).
+// Comparison of Several Algorithms for Computing Sample Means and Variances.
+// Journal of the American Statistical Association, Vol. 69, No. 348, 859-866.
+
+class variance
+{
+ double m_old, m_new, s_old, s_new;
+ unsigned long cnt;
+
+public:
+ variance() : cnt(0) {}
+
+ void clear() { *this = variance(); }
+
+ void input(double x)
+ {
+ cnt++;
+
+ if (cnt == 1)
+ {
+ m_old = m_new = x;
+ s_old = 0;
+ }
+ else
+ {
+ m_new = m_old + (x - m_old)/cnt;
+ s_new = s_old + (x - m_old)*(x - m_new);
+
+ m_old = m_new;
+ s_old = s_new;
+ }
+ }
+
+ double avg() const { return cnt > 0 ? m_new : 0; }
+ double Var() const { return cnt > 1 ? s_new/(cnt - 1) : 0; }
+ double stddev() const { return std::sqrt(Var()); }
+};