[Numpy-discussion] new incremental statistics project
Charles R Harris
Sat Dec 20 13:05:51 CST 2008
On Fri, Dec 19, 2008 at 6:53 AM, John Hunter <firstname.lastname@example.org> wrote:
> On Thu, Dec 18, 2008 at 8:27 PM, Bradford Cross
> <email@example.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
> cd trailstats/
> python movavg_ringbuf.py
> Other things that would be very useful are incremental covariance and
Some sort of Kalman filter?
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