running_stats.hh File Reference

Class to keep running mean and variance of an input series. More...

#include <cmath>

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Classes
class	RunningStats

---

Detailed Description

Class to keep running mean and variance of an input series.

This implementation works incrementally. When given a new sample, it updates internal state, without storing the entire history.

TODO: replace this version with Knuth's more numerically stable algorithm. See: "On-line_algorithm" section of Wikipedia article "Algorithms_for_calculating_variance".

Author:

Jack O'Quin

Id

running_stats.hh 2 2010-01-17 01:54:03Z jack.oquin

Definition in file running_stats.hh.