incrmstdev

Provides a method to compute a moving sample standard deviation incrementally.

Installation

$ npm install compute-incrmstdev

For use in the browser, use browserify.

Usage

var incrmstdev = require( 'compute-incrmstdev' );

incrmstdev( window )

Returns an initialized method to compute a moving sample standard deviation incrementally. window sets the window size, i.e., the number of values over which to compute a moving sample standard deviation.

var mstdev = incrmstdev( 3 );

mstdev( [value] )

If provided a value, the method updates and returns the sample standard deviation of the current window. If not provided a value, the method returns the current sample standard deviation.

var sigma;

// Filling window...
sigma = mstdev( 2 );
// stdev is 0

mstdev( 4 );
// stdev is ~1.414

mstdev( 0 );
// stdev is 2

// Window starts sliding...
mstdev( -2 );
// stdev is ~3.082

mstdev( -1 );
// mstdev is 1

sigma = mstdev();
// returns 1

Notes

If values have not yet been provided to mstdev, mstdev returns null.
The first W-1 returned sample standard deviations will have less statistical support than subsequent sample standard deviations, as W values are needed to fill the window buffer. Until the window is full, the sample standard deviation returned equals the sample standard deviation of all values provided thus far.

The use case for this module differs from the conventional vector implementation and the stream implementation. Namely, this module decouples the act of updating the moving sample standard deviation from the act of consuming the moving sample standard deviation.

Examples

var incrmstdev = require( 'compute-incrmstdev' );

// Initialize a method to calculate the moving sample standard deviation incrementally:
var mstdev = incrmstdev( 5 ),
	sigma;

// Simulate some data...
for ( var i = 0; i < 1000; i++ ) {
	sigma = mstdev( Math.random()*100 );
	console.log( sigma );
}
sigma = mstdev();
console.log( sigma );

To run the example code from the top-level application directory,

$ node ./examples/index.js

Tests

Unit

Unit tests use the Mocha test framework with Chai assertions. To run the tests, execute the following command in the top-level application directory:

$ make test

All new feature development should have corresponding unit tests to validate correct functionality.

Test Coverage

This repository uses Istanbul as its code coverage tool. To generate a test coverage report, execute the following command in the top-level application directory:

$ make test-cov

Istanbul creates a ./reports/coverage directory. To access an HTML version of the report,

$ make view-cov

License

MIT license.

compute-io/incrmstdev