axiomhq / variance

Go implementation of variance's method for one-pass variance computation with D. H. D. West improved methods which features merging of several multiple sets of statistics and adding weighted values.

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Introduction

Go implementation of variance's method for one-pass variance computation with D. H. D. West improved methods:

A method of improved efficiency is given for updating the mean and variance of weighted sampled data when an additional data value is included in the set. Evidence is presented that the method is stable and at least as accurate as the best existing updating method.

-- Updating mean and variance estimates: an improved method - D. H. D. West

It features merging of several multiple sets of statistics and adding weighted values.

Quickstart

Install using go get:

go get github.com/axiomhq/variance

Import the package:

import "github.com/axiomhq/variance"

Use the package:

package main

import (
 "fmt"

 "github.com/axiomhq/variance"
)

func main() {
 stats1 := variance.New()

 stats1.Add(1)
 stats1.Add(1)
 stats1.Add(1)
 stats1.Add(0)
 stats1.Add(0)
 stats1.Add(0)

 fmt.Println(
  stats1.Mean(),
  stats1.Variance(),
  stats1.StandardDeviation(),
  stats1.VariancePopulation(),
  stats1.StandardDeviationPopulation(),
  stats1.NumDataValues(),
 )
}

Checkout the example or run it on pkg.go.dev.

License

Distributed under the MIT License.