[SciPy-user] moving average, moving standard deviation, etc...

Matt Knox mattknox_ca at hotmail.com
Sun Dec 24 10:23:08 CST 2006


> 
> Hi,
> 
> The technique I've seen involves keeping some intermediate variables, 
> and subtracting off the oldest value while adding on the newest.  At 
> each timestep then, you just update the variables and recalculate the 
> result.
> 
> xsum += (x[i] - x[i-window_size])
> x2sum += (x[i]*x[i] - x[i-window_size]*x[i-window_size])
> average = xsum/window_size
> stdev_squared = (x2sum - xsum*xsum)/window_size
> stdev = sqrt(stdev_squared)
> 
> If you want the "sample" stdev, you can compute it directly, or use:
> 
> stdev_sample_squared = window_size*stdev_squared/(window_size-1)
> stdev_sample = sqrt(stdev_squared)
> 
> Don't get me started on this though... IMHO it's usually a waste of time.
> 
> -Frank
> 

Ok, thanks. So it sounds like there is no easy way to do this generally without 
doing some looping in python (for the standard deviation anyway), or writing 
some C code. I'm more interested in the general strategy for doing these kinds 
of calculations than these specific examples themselves necessarily. Although 
they are useful for making pretty charts sometimes.

- Matt



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