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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.
struct variance final
{
using size_type = unsigned;
variance& operator=(variance const&) = default;
void clear() { *this = {}; }
constexpr size_type count() const { return cnt; }
constexpr double avg() const { return cnt > 0 ? m_new : 0; }
constexpr double Var() const { return cnt > 1 ? s_new/(cnt - 1) : 0; }
double stddev() const { return std::sqrt(Var()); }
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;
}
}
private:
double m_old, m_new, s_old, s_new;
size_type cnt = 0;
};
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