Struct WelfordAccumulator 

pub struct WelfordAccumulator {
    pub n: u64,
    pub mean: f64,
    pub m2: f64,
    pub m3: f64,
    pub m4: f64,
}

Mergeable accumulator for mean, variance, skewness, kurtosis via Welford’s method.

Uses the parallel variant from Chan, Golub & LeVeque (1979).

Fields

n: u64

Number of observations

mean: f64

Running mean

m2: f64

Sum of squared deviations from mean (M2)

m3: f64

Third central moment accumulator (M3)

m4: f64

Fourth central moment accumulator (M4)

Implementations

impl WelfordAccumulator

pub fn new() -> Self

Create an empty accumulator.

pub fn push(&mut self, x: f64)

Add a single observation.

pub fn merge(&mut self, other: &WelfordAccumulator)

Merge another accumulator into this one (parallel combine step).

Implements the parallel formulas from Chan, Golub & LeVeque.

pub fn variance(&self) -> f64

Population variance

pub fn sample_variance(&self) -> f64

Sample variance (ddof=1)

pub fn skewness(&self) -> f64

Population skewness (Fisher’s definition)

pub fn kurtosis(&self) -> f64

Excess kurtosis (Fisher’s definition)

Trait Implementations

impl Clone for WelfordAccumulator

fn clone(&self) -> WelfordAccumulator

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for WelfordAccumulator

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl Default for WelfordAccumulator

fn default() -> Self

Returns the “default value” for a type.