This class provides efficient and accurate online algorithms for calculating mean, variance, skew, and kurtosis. The class provides template specializations, so that no unnecessary data members will be kept or unnecessary calculations done. The online algorithms used are Welford for variance, and the stable M3 and M4 are taken from: https://en.wikipedia.org/wiki/Algorithms_for_calculating_variance#Higher‐order_statistics

Synopsis

Declared in <bdlsta_moment.h>

template<>
class Moment<BloombergLP::bdlsta::MomentLevel::e_M2>;

Description

The formula for sample skewness is taken from: http://www.macroption.com/skewness‐formula/

The formula for sample excess kurtosis is taken from: http://www.macroption.com/kurtosis‐formula/

Enums

Name

Description

Unnamed enum

Status codes returned by statistical computations.

Member Functions

Name

Description

add

Add the specified value to the data set.

count

Returns the number of elements in the data set.

kurtosis

Return the kurtosis of the data set. The behavior is undefined unless 4 <= count and the variance is not zero.

kurtosisIfValid

Load into the specified result, the kurtosis of the data set. Return 0 on success, and a non‐zero value otherwise. Specifically, e_INADEQUATE_DATA is returned if 4 > count or the variance is zero.

mean

Return the mean of the data set. The behavior is undefined unless 1 <= count.

meanIfValid

Load into the specified result, the mean of the data set. Return 0 on success, and a non‐zero value otherwise. Specifically, e_INADEQUATE_DATA is returned if 1 > count.

skew

Return skew of the data set. The behavior is undefined unless 3 <= count or the variance is zero.

skewIfValid

Load into the specified result, the skew of the data set. Return 0 on success, and a non‐zero value otherwise. Specifically, e_INADEQUATE_DATA is returned if 3 > count or the variance is zero.

variance

Return the variance of the data set. The behavior is undefined unless 2 <= count.

varianceIfValid

Load into the specified result, the variance of the data set. Return 0 on success, and a non‐zero value otherwise. Specifically, e_INADEQUATE_DATA is returned if 2 > count.

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