Online calculator for mean, variance, skew, and kurtosis.

Synopsis

Declared in <bdlsta_moment.h>

template<>
class Moment<BloombergLP::bdlsta::MomentLevel::e_M1>;

Description

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

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

Return 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 kurtosis into result when data is sufficient.

mean

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

meanIfValid

Load mean into result when data is sufficient.

skew

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

skewIfValid

Load skew into result when data is sufficient.

variance

Return the variance of the accumulated sample.

varianceIfValid

Load variance into result when data is sufficient.

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