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feat: add implementation of stats/incr/nanmvariance
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feat: add implementation of `stats/incr/nanmvariance`
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fix: docs image
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149 changes: 149 additions & 0 deletions
149
lib/node_modules/@stdlib/stats/incr/nanmvariance/README.md
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| <!-- | ||
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| @license Apache-2.0 | ||
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| Copyright (c) 2026 The Stdlib Authors. | ||
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| Licensed under the Apache License, Version 2.0 (the "License"); | ||
| you may not use this file except in compliance with the License. | ||
| You may obtain a copy of the License at | ||
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| http://www.apache.org/licenses/LICENSE-2.0 | ||
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| Unless required by applicable law or agreed to in writing, software | ||
| distributed under the License is distributed on an "AS IS" BASIS, | ||
| WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. | ||
| See the License for the specific language governing permissions and | ||
| limitations under the License. | ||
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| --> | ||
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| # incrnanmvariance | ||
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| > Compute a moving [unbiased sample variance][sample-variance] incrementally, ignoring `NaN` values. | ||
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| <section class="intro"> | ||
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| For a window of size `W`, the [unbiased sample variance][sample-variance] is defined as | ||
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| <!-- <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."> --> | ||
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| ```math | ||
| s^2 = \frac{1}{W-1} \sum_{i=0}^{W-1} ( x_i - \bar{x} )^2 | ||
| ``` | ||
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| <!-- <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"> | ||
| <img src="./docs/img/equation_unbiased_sample_variance.svg" alt="Equation for the unbiased sample variance."> | ||
| <br> | ||
| </div> --> | ||
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| <!-- </equation> --> | ||
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| </section> | ||
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| <!-- /.intro --> | ||
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| <section class="usage"> | ||
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| ## Usage | ||
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| ```javascript | ||
| var incrnanmvariance = require( '@stdlib/stats/incr/nanmvariance' ); | ||
| ``` | ||
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| #### incrnanmvariance( window ) | ||
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| Returns an accumulator function which incrementally computes a moving [unbiased sample variance][sample-variance], ignoring `NaN` values. The `window` parameter defines the number of values over which to compute the moving [unbiased sample variance][sample-variance]. | ||
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| ```javascript | ||
| var accumulator = incrnanmvariance( 3 ); | ||
| ``` | ||
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| #### accumulator( \[x] ) | ||
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| If provided an input value `x`, the accumulator function returns an updated [unbiased sample variance][sample-variance]. If not provided an input value `x`, the accumulator function returns the current [unbiased sample variance][sample-variance]. | ||
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| ```javascript | ||
| var accumulator = incrnanmvariance( 3 ); | ||
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| var s2 = accumulator(); | ||
| // returns null | ||
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| s2 = accumulator( 2.0 ); | ||
| // returns 0.0 | ||
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| s2 = accumulator( NaN ); | ||
| // returns 0.0 | ||
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| s2 = accumulator( -5.0 ); | ||
| // returns 24.5 | ||
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| s2 = accumulator( 3.0 ); | ||
| // returns 19.0 | ||
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| s2 = accumulator( NaN ); | ||
| // returns 19.0 | ||
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| s2 = accumulator(); | ||
| // returns 19.0 | ||
| ``` | ||
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| </section> | ||
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| <!-- /.usage --> | ||
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| <section class="notes"> | ||
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| ## Notes | ||
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| - `NaN` values are ignored. If all values in the window are `NaN`, the accumulator returns the last valid variance or `null` if no valid values have been provided. | ||
| - Input values are **not** type checked beyond `NaN` detection. If other non-numeric inputs are possible, you are advised to type check and handle accordingly **before** passing the value to the accumulator function. | ||
| - As `W` values are needed to fill the window buffer, the first `W-1` returned values are calculated from smaller sample sizes. Until the window is full, each returned value is calculated from all provided non-`NaN` values. | ||
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| </section> | ||
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| <!-- /.notes --> | ||
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| <section class="examples"> | ||
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| ## Examples | ||
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| <!-- eslint no-undef: "error" --> | ||
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| ```javascript | ||
| var uniform = require( '@stdlib/random/base/uniform' ); | ||
| var bernoulli = require( '@stdlib/random/base/bernoulli' ); | ||
| var incrnanmvariance = require( '@stdlib/stats/incr/nanmvariance' ); | ||
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| // Initialize an accumulator: | ||
| var accumulator = incrnanmvariance( 5 ); | ||
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| // For each simulated datum, update the moving variance... | ||
| var i; | ||
| for ( i = 0; i < 100; i++ ) { | ||
| accumulator( ( bernoulli( 0.8 ) < 1 ) ? NaN : uniform( -50.0, 50.0 ) ); | ||
| } | ||
| console.log( accumulator() ); | ||
| ``` | ||
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| </section> | ||
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| <!-- /.examples --> | ||
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| <!-- Section for related `stdlib` packages. Do not manually edit this section, as it is automatically populated. --> | ||
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| <section class="related"> | ||
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| </section> | ||
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| <!-- /.related --> | ||
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| <!-- Section for all links. Make sure to keep an empty line after the `section` element and another before the `/section` close. --> | ||
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| <section class="links"> | ||
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| [sample-variance]: https://en.wikipedia.org/wiki/Variance | ||
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| </section> | ||
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| <!-- /.links --> |
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69
lib/node_modules/@stdlib/stats/incr/nanmvariance/benchmark/benchmark.js
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| /** | ||
| * @license Apache-2.0 | ||
| * | ||
| * Copyright (c) 2026 The Stdlib Authors. | ||
| * | ||
| * Licensed under the Apache License, Version 2.0 (the "License"); | ||
| * you may not use this file except in compliance with the License. | ||
| * You may obtain a copy of the License at | ||
| * | ||
| * http://www.apache.org/licenses/LICENSE-2.0 | ||
| * | ||
| * Unless required by applicable law or agreed to in writing, software | ||
| * distributed under the License is distributed on an "AS IS" BASIS, | ||
| * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. | ||
| * See the License for the specific language governing permissions and | ||
| * limitations under the License. | ||
| */ | ||
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| 'use strict'; | ||
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| // MODULES // | ||
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| var bench = require( '@stdlib/bench' ); | ||
| var format = require( '@stdlib/string/format' ); | ||
| var pkg = require( './../package.json' ).name; | ||
| var incrnanmvariance = require( './../lib' ); | ||
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| // MAIN // | ||
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| bench( pkg, function benchmark( b ) { | ||
| var f; | ||
| var i; | ||
| b.tic(); | ||
| for ( i = 0; i < b.iterations; i++ ) { | ||
| f = incrnanmvariance( (i%5)+1 ); | ||
| if ( typeof f !== 'function' ) { | ||
| b.fail( 'should return a function' ); | ||
| } | ||
| } | ||
| b.toc(); | ||
| if ( typeof f !== 'function' ) { | ||
| b.fail( 'should return a function' ); | ||
| } | ||
| b.pass( 'benchmark finished' ); | ||
| b.end(); | ||
| }); | ||
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| bench( format( '%s::accumulator', pkg ), function benchmark( b ) { | ||
| var acc; | ||
| var v; | ||
| var i; | ||
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| acc = incrnanmvariance( 5 ); | ||
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| b.tic(); | ||
| for ( i = 0; i < b.iterations; i++ ) { | ||
| v = acc( (i%5) ? i : NaN ); | ||
| if ( v !== v ) { | ||
| b.fail( 'should not return NaN' ); | ||
| } | ||
| } | ||
| b.toc(); | ||
| if ( v !== v ) { | ||
| b.fail( 'should not return NaN' ); | ||
| } | ||
| b.pass( 'benchmark finished' ); | ||
| b.end(); | ||
| }); |
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61
.../@stdlib/stats/incr/nanmvariance/docs/img/equation_unbiased_sample_variance.svg
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45 changes: 45 additions & 0 deletions
45
lib/node_modules/@stdlib/stats/incr/nanmvariance/docs/repl.txt
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| {{alias}}( W ) | ||
| Returns an accumulator function which incrementally computes a moving | ||
| variance, ignoring `NaN` values. | ||
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| The `W` parameter defines the number of values over which to compute the | ||
| moving unbiased sample variance. | ||
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| If provided a value, the accumulator function returns an updated moving | ||
| variance. If not provided a value, the accumulator function returns the | ||
| current moving unbiased sample variance. | ||
|
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| As `W` values are needed to fill the window buffer, the first `W-1` returned | ||
| values are calculated from smaller sample sizes. Until the window is full, | ||
| each returned value is calculated from all provided values. | ||
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| Parameters | ||
| ---------- | ||
| W: integer | ||
| Window size. | ||
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| Returns | ||
| ------- | ||
| acc: Function | ||
| Accumulator function. | ||
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| Examples | ||
| -------- | ||
| > var accumulator = {{alias}}( 3 ); | ||
| > var s2 = accumulator() | ||
| null | ||
| > s2 = accumulator( 2.0 ) | ||
| 0.0 | ||
| > s2 = accumulator( NaN ) | ||
| 0.0 | ||
| > s2 = accumulator( -5.0 ) | ||
| 24.5 | ||
| > s2 = accumulator( 3.0 ) | ||
| 19.0 | ||
| > s2 = accumulator() | ||
| 19.0 | ||
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| See Also | ||
| -------- | ||
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