Welford's online/incremental variance calculation

welford.py

class OnlineVariance:
    """Welfords online variance calculation"""

    def __init__(self, arr):
        self.arr = arr # np.array
        self.mean = arr
        self.count = 1
        self._M2 = 0

    def update(self, arr):
        self.count += 1
        delta = arr - self.mean
        self.mean += delta / self.count
        delta_prime = arr - self.mean
        self._M2 += delta * delta_prime
        self.variance = self._M2 / self.count
        self.sample_variance = self._M2 / (self.count - 1)
    
    def __call__(self, x):
        self.update(x)

    def __repr__(self):
        return "count = {}\nvariance =\n{}\nmean =\n{}".format(
            self.count, self.variance, self.mean
        )