49 lines
770 B
Go
49 lines
770 B
Go
package onlinestats
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// From http://queue.acm.org/detail.cfm?id=2534976
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// Note that article has a "backwards" usage of alpha; this code uses the version documented in wikipedia
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import "math"
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type ExpWeight struct {
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n int
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m1 float64
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v float64
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alpha float64
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}
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func NewExpWeight(alpha float64) *ExpWeight {
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return &ExpWeight{alpha: alpha}
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}
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func (e *ExpWeight) Push(x float64) {
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if e.n == 0 {
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e.m1 = x
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e.v = 1
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} else {
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e.m1 = e.alpha*x + (1-e.alpha)*e.m1
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v := (x - e.m1)
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e.v = e.alpha*(v*v) + (1-e.alpha)*e.v
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}
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e.n++
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}
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func (e *ExpWeight) Len() int {
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return e.n
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}
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func (e *ExpWeight) Mean() float64 {
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return e.m1
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}
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func (e *ExpWeight) Var() float64 {
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return e.v
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}
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func (e *ExpWeight) Stddev() float64 {
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return math.Sqrt(e.v)
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}
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