/// <summary>
/// Calculates incremental running average and variance.
/// </summary>
/// <param name="data">Sample data.</param>
/// <param name="onCalculated">
/// Action callback which fires on each element addition.
/// <para>Parameters are: (index, incremental average, incremental variance).</para>
/// </param>
public static void RunningVarianceIncremental(this IList <double[]> data, Action <int, double[], double> onCalculated)
{
var dim = data.First().Length;
double[] avg = new double[dim];
double varianceSum = 0d;
for (int i = 0; i < data.Count; i++)
{
var item = data[i];
var prevAvg = avg;
avg = avg.Add(RunningAverage.UpdateAverageIncremental(avg, i, item));
varianceSum += UpdateVarianceIncremental(prevAvg, avg, varianceSum, i, item);
onCalculated(i, avg, varianceSum);
}
}
/// <summary>
/// Calculates incremental and decremental running variance.
/// </summary>
/// <param name="data">Sample data.</param>
/// <param name="onCalculated">
/// Action callback which fires on each element addition-removal.
/// <para>Parameters are: (index, incremental average, incremental variance, decremental average, decremental variance).</para>
/// </param>
public static void RunningVarianceIncDec(this IList <double> data, Action <int, double, double, double, double> onCalculated)
{
double avgInc = 0d, varInc = 0d;
double avgDec = data.Average(), varDec = data.Variance();
for (int i = 0; i < data.Count; i++)
{
var item = data[i];
var prevAvg = avgInc;
avgInc += RunningAverage.UpdateAverageIncremental(avgInc, i, item);
var postAvg = avgDec;
avgDec -= RunningAverage.UpdateAverageDecremental(avgDec, data.Count - i, item);
varInc += UpdateVarianceIncremental(prevAvg, avgInc, varInc, i, item);
varDec -= UpdateVarianceDecremental(postAvg, avgDec, varDec, data.Count - i, item);
onCalculated(i, avgInc, varInc, avgDec, varDec);
}
}
/// <summary>
/// Calculates incremental and decremental running variance.
/// </summary>
/// <param name="data">Sample data.</param>
/// <param name="onCalculated">
/// Action callback which fires on each element addition-removal.
/// <para>Parameters are: (index, incremental (average, incremental variance, decremental average, decremental variance).</para>
/// </param>
public static void RunningVarianceIncDec(this IList <double[]> data, Action <int, double[], double, double[], double> onCalculated)
{
var dim = data.First().Length;
double[] avgInc = new double[dim], avgDec = data.Average();
double varInc = 0d, varDec = data.Variance().Sum();
for (int i = 0; i < data.Count; i++)
{
var item = data[i];
var prevAvg = avgInc;
avgInc = avgInc.Add(RunningAverage.UpdateAverageIncremental(avgInc, i, item));
var postAvg = avgDec;
avgDec = avgDec.Subtract(RunningAverage.UpdateAverageDecremental(avgDec, data.Count - i, item));
varInc += UpdateVarianceIncremental(prevAvg, avgInc, varInc, i, item);
varDec -= UpdateVarianceDecremental(postAvg, avgDec, varDec, data.Count - i, item);
onCalculated(i, avgInc, varInc, avgDec, varDec);
}
}