RunningStatistics 0.2.0

RunningStatistics

Online (single pass) algorithms for statistical measures based on the Julia package OnlineStats.jl by Josh Day. Useful for streaming and big data.

List of Statistics

In addition to the above statistics, we also provide the Series type which allows for fitting a collection of running statistics.

Methods

The IRunningStatistic<T> interface provides the following members:

public interface IRunningStatistic<TObs>
{
    public long Count { get; }

    public void Fit(IEnumerable<TObs> values);

    public void Fit(TObs value);

    public void Reset();
    
    public void Merge(IRunningStatistic<TObs> other);
}

Do note that if two running statistics have different concrete classes, then no merging will be performed.

Examples

using RunningStatistics;

var mean1 = new Mean();
var mean2 = new Mean();
var ecdf = new EmpiricalCdf();
var series = new Series(new Moments(), new Extrema()); 

var rng = new Random();
for (var i = 0; i < 1000; i++)
{
    var x = rng.NextDouble();
    
    mean1.Fit(x);
    mean2.Fit(2*x);
    
    ecdf.Fit(x);
    series.Fit(x);
}

mean1.Merge(mean2);
var q1 = ecdf.Quantile(0.25);