67 lines
1.1 KiB
Go
67 lines
1.1 KiB
Go
package stati
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import (
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"fmt"
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"math"
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)
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type MeanVar struct {
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n float64
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mean float64
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m2 float64
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}
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func (v1 *MeanVar) AddPoint(value float64) {
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// based on https://en.wikipedia.org/wiki/Algorithms_for_calculating_variance#Welford's_online_algorithm
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v1.n++
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delta := value - v1.mean
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v1.mean += delta / v1.n
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delta2 := value - v1.mean
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v1.m2 += delta * delta2
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}
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func (v1 *MeanVar) Mean() float64 {
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return v1.mean
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}
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func (v1 *MeanVar) N() float64 {
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return v1.n
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}
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func (v1 *MeanVar) Variance() float64 {
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return v1.m2 / (v1.n - 1)
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}
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func (v1 *MeanVar) Stddev() float64 {
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return math.Sqrt(v1.Variance())
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}
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func (v1 MeanVar) String() string {
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return fmt.Sprintf("%f stddev: %f (%.0f)", v1.Mean(), v1.Stddev(), v1.N())
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}
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func (v1 *MeanVar) Combine(v2 *MeanVar) {
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if v1.n == 0 {
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*v1 = *v2
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return
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}
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if v2.n == 0 {
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return
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}
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if v1.n == 1 {
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cpy := *v2
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cpy.AddPoint(v1.mean)
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*v1 = cpy
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return
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}
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if v2.n == 1 {
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v1.AddPoint(v2.mean)
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return
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}
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newCount := v1.n + v2.n
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delta := v2.mean - v1.mean
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meanDelta := delta * v2.n / newCount
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m2 := v1.m2 + v2.m2 + delta*meanDelta*v1.n
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v1.n = newCount
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v1.mean += meanDelta
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v1.m2 = m2
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}
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