Stable Online Variance and Welford's Algorithm

npm install fintech-algorithms

import { stableOnlineVarianceAndWelfordsAlgorithm } from "fintech-algorithms/financial-mathematics-statistics-and-data-foundations/statistical-computing-and-reproducibility/stable-online-variance-and-welford-s-algorithm";

stableOnlineVarianceAndWelfordsAlgorithm(input)

{
  "values": [1, 2, 3, 4, 5],
  "floatingValue": 0.1,
  "maxSafeMagnitude": 1.7976931348623157e+308,
  "window": 3,
  "rawValues": [1, null, 2, "bad", 3],
  "invalidPolicy": "drop-and-report",
  "seed": 42,
  "sampleCount": 5,
  "leftVector": [
    {
      "index": "A",
      "value": 1
    },
    {
      "index": "B",
      "value": 2
    }
  ],
  "rightVector": [
    {
      "index": "B",
      "value": 20
    },
    {
      "index": "C",
      "value": 30
    }
  ],
  "train": [10, 12, 14, 16],
  "test": [18, 20],
  "actual": [1, 2.0000001, 3],
  "expected": [1, 2, 3]
}

stableOnlineVarianceAndWelfordsAlgorithm(input)

{
  "count": 5,
  "mean": 3
}