[Numpy-discussion] new incremental statistics project

John Hunter jdh2358@gmail....
Fri Dec 19 07:53:31 CST 2008


On Thu, Dec 18, 2008 at 8:27 PM, Bradford Cross
<bradford.n.cross@gmail.com> wrote:
> This is a new project I just released.
>
> I know it is C#, but some of the design and idioms would be nice in
> numpy/scipy for working with discrete event simulators, time series, and
> event stream processing.
>
> http://code.google.com/p/incremental-statistics/

I think an incremental stats module would be a boon to numpy or scipy.
 Eric Firing has a nice module wrtten in C with a pyrex wrapper
(ringbuf) that does trailing incremental mean, median, std, min, max,
and percentile.  It maintains a sorted queue to do the last three
efficiently, and handles NaN inputs.  I would like to see this
extended to include exponential or other weightings to do things like
incremental trailing exponential moving averages and variances.  I
don't know what the licensing terms are of this module, but it might
be a good starting point for an incremental numpy stats module, at
least if you were thinking about supporting a finite lookback window.
We have a copy of this in the py4science examples dir if you want to
take a look:

    svn co https://matplotlib.svn.sourceforge.net/svnroot/matplotlib/trunk/py4science/examples/pyrex/trailstats
    cd trailstats/
   make
   python movavg_ringbuf.py

Other things that would be very useful are incremental covariance and
regression.

JDH


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