JarCasting
tools4j-meanvar
Tiny Java utility to incrementally calculate Mean and Standard Deviation with a numerically stable algorithm. Contains a simple utility class to incrementally calculate moving average and moving standard deviation of a data series.
The implementation is based on Welford’s Algorithm given in Knuth Vol 2, p 232.
Examples
MeanVarianceSampler
final MeanVarianceSampler sampler = new MeanVarianceSampler();
double mean, var, stdDev;
sampler.add(1);
sampler.add(2.5);
sampler.add(3.22);
sampler.add(-6.72);
mean = sampler.getMean();
var = sampler.getVariance();
stdDev = sampler.getStdDev();
sampler.remove(2.5);
mean = sampler.getMean();
var = sampler.getVariance();
stdDev = sampler.getStdDev();
sampler.replace(3.22, 4.22);
mean = sampler.getMean();
var = sampler.getVariance();
stdDev = sampler.getStdDev();
MeanVarianceSlidingWindow
final int windowSize = 3;
final MeanVarianceSlidingWindow win = new MeanVarianceSlidingWindow(windowSize);
double mean, var, stdDev;
win.update(1);
win.update(2);
win.update(3);
mean = win.getMean();
var = win.getVariance();
stdDev = win.getStdDev();
//1 drops out now
win.update(4);
mean = win.getMean();
var = win.getVariance();
stdDev = win.getStdDev();
//2 drops out now
win.update(5);
mean = win.getMean();
var = win.getVariance();
stdDev = win.getStdDev();
Maven
Add the following dependency to your maven pom.xml file:
<dependency>
<groupId>org.tools4j</groupId>
<artifactId>tools4j-meanvar</artifactId>
<version>1.1</version>
</dependency>
Gradle
Add the following entry to the dependencies section in your build.gradle file:
dependencies {
compile 'org.tools4j:tools4j-meanvar:1.1'
}
Download
Sources and binaries can be downloaded from maven central:
- tools4j-meanvar in Maven Central
API Javadoc
More Information
- MIT License
- MeanVarianceSampler.java: Utility to add, remove or replace values in a running calculation of mean and variance
- MeanVarianceSlidingWindow.java: A fixed length sliding window to calculate moving average and moving standard deviation of a data series
