MovingStats.h

/*
 * MovingStats.h
 *
 * Computes floating-point mean and variance statistics over time using an exponential moving average.
 * This class computes the following statistics: mean, variance and standard deviation.
 *
 * (c) 2014 Sofian Audry -- info(@)sofianaudry(.)com
 *
 * This program is free software: you can redistribute it and/or modify
 * it under the terms of the GNU General Public License as published by
 * the Free Software Foundation, either version 3 of the License, or
 * (at your option) any later version.
 *
 * This program is distributed in the hope that it will be useful,
 * but WITHOUT ANY WARRANTY; without even the implied warranty of
 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
 * GNU General Public License for more details.
 *
 * You should have received a copy of the GNU General Public License
 * along with this program.  If not, see <http://www.gnu.org/licenses/>.
 */
 
#ifndef MOVINGSTATS_H_
#define MOVINGSTATS_H_
 
#include "MovingAverage.h"
 
namespace pq {
 
class MovingStats {
public:
  // Moving average over values (ie. mean).
  MovingAverage _mean;
 
  // Moving average of squared values.
  MovingAverage _mean2;
 
  MovingStats();
 
  virtual ~MovingStats() {}
 
  virtual void reset();
 
  virtual void reset(float initMean, float initStdDev);
 
  virtual float update(float value, float alpha);
 
  virtual float mean() const { return _mean.constGet(); }
 
  virtual float meanSquared() const { return _mean2.constGet(); }
 
  virtual float var() const { return (_mean2.constGet() - sq(mean())); }
 
  virtual float stdDev() const;
 
  virtual float normalize(float value) const;
 
  virtual float normalize(float value, float mean, float stdDev) const;
 
  virtual bool isOutlier(float value, float nStdDev=1.5f) const;
 
  virtual bool isLowOutlier(float value, float nStdDev=1.5f) const;
 
  virtual bool isHighOutlier(float value, float nStdDev=1.5f) const;
 
  virtual float stddev() const { return stdDev(); }
};
 
} // namespace pq
 
#endif /* MOVINGSTATS_H_ */