Skip to content

Commit 9281e0c

Browse files
anoofmhdanoofmhd
committed
feat: add incrnanmmeanvar (moving mean/variance with NaN skipping)
1 parent 1270286 commit 9281e0c

File tree

13 files changed

+1361
-0
lines changed

13 files changed

+1361
-0
lines changed

‎lib/node_modules/@stdlib/stats/incr/nanmmeanvar/README.md‎

Lines changed: 247 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -0,0 +1,247 @@
1+
<!--
2+
3+
@license Apache-2.0
4+
5+
Copyright (c) 2018 The Stdlib Authors.
6+
7+
Licensed under the Apache License, Version 2.0 (the "License");
8+
you may not use this file except in compliance with the License.
9+
You may obtain a copy of the License at
10+
11+
http://www.apache.org/licenses/LICENSE-2.0
12+
13+
Unless required by applicable law or agreed to in writing, software
14+
distributed under the License is distributed on an "AS IS" BASIS,
15+
WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
16+
See the License for the specific language governing permissions and
17+
limitations under the License.
18+
19+
-->
20+
21+
# incrnanmmeanvar
22+
23+
> Compute a moving [arithmetic mean][arithmetic-mean] and [unbiased sample variance][sample-variance] incrementally, **skipping `NaN` values**.
24+
25+
<section class="intro">
26+
27+
For a window of size `W`, the [arithmetic mean][arithmetic-mean] is defined as
28+
29+
<!-- <equation class="equation" label="eq:arithmetic_mean" align="center" raw="\bar{x} = \frac{1}{W} \sum_{i=0}^{W-1} x_i" alt="Equation for the arithmetic mean."> -->
30+
31+
```math
32+
\bar{x} = \frac{1}{W} \sum_{i=0}^{W-1} x_i
33+
```
34+
35+
<!-- <div class="equation" align="center" data-raw-text="\bar{x} = \frac{1}{W} \sum_{i=0}^{W-1} x_i" data-equation="eq:arithmetic_mean">
36+
<img src="https://cdn.jsdelivr.net/gh/stdlib-js/stdlib@c8c3c87eeab590bfdff924ec0fb269fb33a7de2b/lib/node_modules/@stdlib/stats/incr/mmeanvar/docs/img/equation_arithmetic_mean.svg" alt="Equation for the arithmetic mean.">
37+
<br>
38+
</div> -->
39+
40+
<!-- </equation> -->
41+
42+
and the [unbiased sample variance][sample-variance] is defined as
43+
44+
<!-- <equation class="equation" label="eq:unbiased_sample_variance" align="center" raw="s^2 = \frac{1}{W-1} \sum_{i=0}^{W-1} ( x_i - \bar{x} )^2" alt="Equation for the unbiased sample variance."> -->
45+
46+
```math
47+
s^2 = \frac{1}{W-1} \sum_{i=0}^{W-1} ( x_i - \bar{x} )^2
48+
```
49+
50+
<!-- <div class="equation" align="center" data-raw-text="s^2 = \frac{1}{W-1} \sum_{i=0}^{W-1} ( x_i - \bar{x} )^2" data-equation="eq:unbiased_sample_variance">
51+
<img src="https://cdn.jsdelivr.net/gh/stdlib-js/stdlib@563a8587d936008c82db675be84f8ce1474fee27/lib/node_modules/@stdlib/stats/incr/mmeanvar/docs/img/equation_unbiased_sample_variance.svg" alt="Equation for the unbiased sample variance.">
52+
<br>
53+
</div> -->
54+
55+
<!-- </equation> -->
56+
57+
</section>
58+
59+
<!-- /.intro -->
60+
61+
<section class="usage">
62+
63+
## Usage
64+
65+
```javascript
66+
var incrnanmmeanvar = require( '@stdlib/stats/incr/nanmmeanvar' );
67+
```
68+
69+
#### incrnanmmeanvar( \[out,] window )
70+
71+
Returns an accumulator `function` which incrementally computes a moving [arithmetic mean][arithmetic-mean] and [unbiased sample variance][sample-variance] **while skipping `NaN` values**. The `window` parameter defines the maximum number of most recent **non-NaN** values used to compute the moving statistics.
72+
73+
```javascript
74+
var accumulator = incrnanmmeanvar( 3 );
75+
```
76+
77+
By default, the returned accumulator `function` returns the accumulated values as a two-element `array`. To avoid unnecessary memory allocation, the function supports providing an output (destination) object. Unlike `incrmmeanvar`, this accumulator ignores (skips) any `NaN` values and does not allow them to propagate into the moving mean and variance.
78+
79+
```javascript
80+
var Float64Array = require( '@stdlib/array/float64' );
81+
82+
var accumulator = incrnanmmeanvar( new Float64Array( 2 ), 3 );
83+
```
84+
85+
#### accumulator( \[x] )
86+
87+
If provided an input value `x`, the accumulator function updates and returns the current moving arithmetic mean and unbiased sample variance. If `x` is `NaN`, the value is ignored (i.e., it does not affect the window). If not provided an input value `x`, the accumulator function returns the current accumulated values without updating.
88+
89+
```javascript
90+
var incrnanmmeanvar = require( '@stdlib/stats/incr/nanmmeanvar' );
91+
92+
var accumulator = incrnanmmeanvar( 3 );
93+
94+
var out = accumulator();
95+
// returns null
96+
97+
// Fill the window (no NaNs yet)...
98+
out = accumulator( 2.0 ); // [2.0]
99+
// returns [ 2.0, 0.0 ]
100+
101+
out = accumulator( NaN ); // NaN is ignored [2.0]
102+
// returns [ 2.0, 0.0 ]
103+
104+
out = accumulator( 1.0 ); // [2.0, 1.0]
105+
// returns [ 1.5, 0.5 ]
106+
107+
out = accumulator( 3.0 ); // [2.0, 1.0, 3.0]
108+
// returns [ 2.0, 1.0 ]
109+
110+
// Window begins sliding...
111+
out = accumulator( -7.0 ); // [1.0, 3.0, -7.0]
112+
// returns [ -1.0, 28.0 ]
113+
114+
out = accumulator( NaN ); // NaN ignored [1.0, 3.0, -7.0]
115+
// returns [ -1.0, 28.0 ]
116+
117+
out = accumulator( -5.0 ); // [3.0, -7.0, -5.0]
118+
// returns [ -3.0, 28.0 ]
119+
120+
out = accumulator();
121+
// returns [ -3.0, 28.0 ]
122+
```
123+
124+
</section>
125+
126+
<!-- /.usage -->
127+
128+
<section class="notes">
129+
130+
## Notes
131+
132+
- Input values are **not** type checked. If provided `NaN`, the value is ignored and does not affect the moving window or the accumulated statistics. If non-numeric inputs are possible, you are advised to type check and handle them **before** passing values to the accumulator function.
133+
- As `W` valid (non-`NaN`) values are needed to fill the window buffer, the first `W-1` returned values are calculated from smaller sample sizes. Until the window has received `W` valid values, each returned value is calculated from all valid inputs seen so far.
134+
135+
</section>
136+
137+
<!-- /.notes -->
138+
139+
<section class="examples">
140+
141+
## Examples
142+
143+
<!-- eslint no-undef: "error" -->
144+
145+
```javascript
146+
var randu = require( '@stdlib/random/base/randu' );
147+
var Float64Array = require( '@stdlib/array/float64' );
148+
var ArrayBuffer = require( '@stdlib/array/buffer' );
149+
var incrnanmmeanvar = require( '@stdlib/stats/incr/nanmmeanvar' );
150+
151+
var offset;
152+
var acc;
153+
var buf;
154+
var out;
155+
var mv;
156+
var N;
157+
var v;
158+
var i;
159+
var j;
160+
161+
// Define the number of accumulators:
162+
N = 5;
163+
164+
// Create an array buffer for storing accumulator output:
165+
buf = new ArrayBuffer( N*2*8 );
166+
167+
// Initialize accumulators:
168+
acc = [];
169+
for ( i = 0; i < N; i++ ) {
170+
// Compute the byte offset for the i­th accumulator:
171+
offset = i * 2 * 8;
172+
173+
// Create a typed array view over the correct section of the buffer:
174+
out = new Float64Array( buf, offset, 2 );
175+
176+
// Create a moving mean/variance accumulator with window W = 5:
177+
acc.push( incrnanmmeanvar( out, 5 ) );
178+
}
179+
180+
// Simulate streaming data updates:
181+
for ( i = 0; i < 100; i++ ) {
182+
for ( j = 0; j < N; j++ ) {
183+
184+
// Generate random values, but occasionally insert NaN.
185+
// Any NaNs are ignored by the accumulator.
186+
v = ( randu() > 0.1 ) ? randu() * 100 : NaN;
187+
188+
// Update accumulator j:
189+
acc[ j ]( v );
190+
}
191+
}
192+
193+
// Display final moving means and variances:
194+
console.log( 'Mean\tVariance' );
195+
for ( i = 0; i < N; i++ ) {
196+
mv = acc[ i ](); // Get the current result
197+
console.log( mv[ 0 ].toFixed( 3 ) + '\t' + mv[ 1 ].toFixed( 3 ) );
198+
}
199+
```
200+
201+
</section>
202+
203+
<!-- /.examples -->
204+
205+
<!-- Section for related `stdlib` packages. Do not manually edit this section, as it is automatically populated. -->
206+
207+
<section class="related">
208+
209+
* * *
210+
211+
## See Also
212+
213+
- <span class="package-name">[`@stdlib/stats/incr/mmeanvar`][@stdlib/stats/incr/mmeanvar]</span><span class="delimiter">: </span><span class="description">compute a moving arithmetic mean and unbiased sample variance incrementally (**propagates NaN values**).</span>
214+
- <span class="package-name">[`@stdlib/stats/incr/meanvar`][@stdlib/stats/incr/meanvar]</span><span class="delimiter">: </span><span class="description">compute an arithmetic mean and unbiased sample variance incrementally.</span>
215+
- <span class="package-name">[`@stdlib/stats/incr/mmean`][@stdlib/stats/incr/mmean]</span><span class="delimiter">: </span><span class="description">compute a moving arithmetic mean incrementally.</span>
216+
- <span class="package-name">[`@stdlib/stats/incr/mmeanstdev`][@stdlib/stats/incr/mmeanstdev]</span><span class="delimiter">: </span><span class="description">compute a moving arithmetic mean and corrected sample standard deviation incrementally.</span>
217+
- <span class="package-name">[`@stdlib/stats/incr/mvariance`][@stdlib/stats/incr/mvariance]</span><span class="delimiter">: </span><span class="description">compute a moving unbiased sample variance incrementally.</span>
218+
219+
</section>
220+
221+
<!-- /.related -->
222+
223+
<!-- Section for all links. Make sure to keep an empty line after the `section` element and another before the `/section` close. -->
224+
225+
<section class="links">
226+
227+
[arithmetic-mean]: https://en.wikipedia.org/wiki/Arithmetic_mean
228+
229+
[sample-variance]: https://en.wikipedia.org/wiki/Variance
230+
231+
<!-- <related-links> -->
232+
233+
[@stdlib/stats/incr/mmeanvar]: https://github.com/stdlib-js/stdlib/tree/develop/lib/node_modules/%40stdlib/stats/incr/mmeanvar
234+
235+
[@stdlib/stats/incr/meanvar]: https://github.com/stdlib-js/stdlib/tree/develop/lib/node_modules/%40stdlib/stats/incr/meanvar
236+
237+
[@stdlib/stats/incr/mmean]: https://github.com/stdlib-js/stdlib/tree/develop/lib/node_modules/%40stdlib/stats/incr/mmean
238+
239+
[@stdlib/stats/incr/mmeanstdev]: https://github.com/stdlib-js/stdlib/tree/develop/lib/node_modules/%40stdlib/stats/incr/mmeanstdev
240+
241+
[@stdlib/stats/incr/mvariance]: https://github.com/stdlib-js/stdlib/tree/develop/lib/node_modules/%40stdlib/stats/incr/mvariance
242+
243+
<!-- </related-links> -->
244+
245+
</section>
246+
247+
<!-- /.links -->

‎lib/node_modules/@stdlib/stats/incr/nanmmeanvar/benchmark/benchmark.js‎

Lines changed: 69 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -0,0 +1,69 @@
1+
/**
2+
* @license Apache-2.0
3+
*
4+
* Copyright (c) 2018 The Stdlib Authors.
5+
*
6+
* Licensed under the Apache License, Version 2.0 (the "License");
7+
* you may not use this file except in compliance with the License.
8+
* You may obtain a copy of the License at
9+
*
10+
* http://www.apache.org/licenses/LICENSE-2.0
11+
*
12+
* Unless required by applicable law or agreed to in writing, software
13+
* distributed under the License is distributed on an "AS IS" BASIS,
14+
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
15+
* See the License for the specific language governing permissions and
16+
* limitations under the License.
17+
*/
18+
19+
'use strict';
20+
21+
// MODULES //
22+
23+
var bench = require( '@stdlib/bench' );
24+
var randu = require( '@stdlib/random/base/randu' );
25+
var pkg = require( './../package.json' ).name;
26+
var incrnanmmeanvar = require( './../lib' );
27+
28+
29+
// MAIN //
30+
31+
bench( pkg, function benchmark( b ) {
32+
var f;
33+
var i;
34+
b.tic();
35+
for ( i = 0; i < b.iterations; i++ ) {
36+
f = incrnanmmeanvar( (i%5)+1 );
37+
if ( typeof f !== 'function' ) {
38+
b.fail( 'should return a function' );
39+
}
40+
}
41+
b.toc();
42+
if ( typeof f !== 'function' ) {
43+
b.fail( 'should return a function' );
44+
}
45+
b.pass( 'benchmark finished' );
46+
b.end();
47+
});
48+
49+
bench( pkg+'::accumulator', function benchmark( b ) {
50+
var acc;
51+
var v;
52+
var i;
53+
54+
acc = incrnanmmeanvar( 5 );
55+
56+
b.tic();
57+
for ( i = 0; i < b.iterations; i++ ) {
58+
v = acc( randu() );
59+
if ( v.length !== 2 ) {
60+
b.fail( 'should contain two elements' );
61+
}
62+
}
63+
b.toc();
64+
if ( v[ 0 ] !== v[ 0 ] || v[ 1 ] !== v[ 1 ] ) {
65+
b.fail( 'should not return NaN' );
66+
}
67+
b.pass( 'benchmark finished' );
68+
b.end();
69+
});

‎lib/node_modules/@stdlib/stats/incr/nanmmeanvar/docs/img/equation_arithmetic_mean.svg‎

Lines changed: 43 additions & 0 deletions
Loading

0 commit comments

Comments
 (0)