Statistics functions

Data Structures
struct	mirml_rsamp_incr_t_
	Structure for online incremental calculation of sample statistics. More...

Typedefs
typedef struct mirml_rsamp_incr_t_	mirml_rsamp_incr_t
	Structure for online incremental calculation of sample statistics.

Functions
double	mirml_rsamp_mean (double *x, int len)
	Calculation of sample mean. More...
double	mirml_rsamp_mean_variance (double *x, int len, double *mean)
	Calculation of sample mean and variance. More...
void	mirml_rsamp_statistics4 (double *x, int len, double *mean, double *variance, double *skewness, double *kurtosis)
	Calculation of sample mean, variance, skewness and excess kurtosis. More...
void	mirml_rsamp_incr_init (mirml_rsamp_incr_t *rsamp)
	Initialization of online incremental calculation of sample statistics.
void	mirml_rsamp_incr_add (mirml_rsamp_incr_t *rsamp, double val)
	Add next value for online incremental calculation of sample statistics. More...
void	mirml_rsamp_incr_add_w (mirml_rsamp_incr_t *rsamp, double val, double w)
	Add next weighted value for online incremental calculation of sample statistics. P. Pebay, T. B. Terriberry, H. Kolla, J. Bennett, Numerically stable, scalable formulas for parallel and online computation of higher-order multivariate central moments with arbitrary weights. Comput Stat 31, 1305–1325 (2016), 10.1007/s00180-015-0637-z. More...
void	mirml_rsamp_incr_calc (mirml_rsamp_incr_t *rsamp)
	Calculate sample statistics based in accumulated data. More...

Detailed Description

Function Documentation

mirml_rsamp_incr_add()

void mirml_rsamp_incr_add	(	mirml_rsamp_incr_t *	rsamp,
		double	val
	)

Add next value for online incremental calculation of sample statistics.

Note

Sample mean value is updated in this function, but not variance, skewness and kurtosis.

mirml_rsamp_incr_add_w()

void mirml_rsamp_incr_add_w	(	mirml_rsamp_incr_t *	rsamp,
		double	val,
		double	w
	)

Add next weighted value for online incremental calculation of sample statistics. P. Pebay, T. B. Terriberry, H. Kolla, J. Bennett, Numerically stable, scalable formulas for parallel and online computation of higher-order multivariate central moments with arbitrary weights. Comput Stat 31, 1305–1325 (2016), 10.1007/s00180-015-0637-z.

Note

Sample mean value is updated in this function, but not variance, skewness and kurtosis.

Warning

Do not mix weighted and unweighted incremental calculation of sample statistics.

mirml_rsamp_incr_calc()

void mirml_rsamp_incr_calc

(

mirml_rsamp_incr_t *

rsamp

)

Calculate sample statistics based in accumulated data.

Note

Sample mean is updated each time a new data added. This function calculates variance, skewness and kurtosis.

mirml_rsamp_mean()

double mirml_rsamp_mean	(	double *	x,
		int	len
	)

Calculation of sample mean.

Parameters

[in]	x	Vector of values.
[in]	len	Length of the input vector.

Note

Implements compensated variant in http://en.wikipedia.org/wiki/Algorithms_for_calculating_variance

Returns

Calculated mean of random sample in vector x.

mirml_rsamp_mean_variance()

double mirml_rsamp_mean_variance	(	double *	x,
		int	len,
		double *	mean
	)

Calculation of sample mean and variance.

Parameters

[in]	x	Vector of values.
[in]	len	Length of the input vector.
[out]	mean	Calculated mean if not NULL.

Note

Implements compensated variant in http://en.wikipedia.org/wiki/Algorithms_for_calculating_variance

Returns

Calculated variance of random sample in vector x.

mirml_rsamp_statistics4()

void mirml_rsamp_statistics4	(	double *	x,
		int	len,
		double *	mean,
		double *	variance,
		double *	skewness,
		double *	kurtosis
	)

Calculation of sample mean, variance, skewness and excess kurtosis.

Parameters

[in]	x	Vector of values.
[in]	len	Length of the input vector.
[out]	mean	Calculated mean if not NULL.
[out]	mean	Calculated variance if not NULL.
[out]	mean	Calculated skewness if not NULL.
[out]	mean	Calculated excess kurtosis if not NULL.

Note

See Higher-order statistics in http://en.wikipedia.org/wiki/Algorithms_for_calculating_variance