Gaussian Updating

Gaussian Updating.carbide.md

Gaussian Updating

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cell0.js

function RandomNormal(m, s, n){
    if(!m) m = 0
	if(!s) s = 1
    if(!n) n = 1000
    var run_total = 0
    for(var i=0 ; i<n ; i++){
       run_total += Math.random()
    }
    return s*(run_total - n/2)/(n/2) + m
}

function Var(sigma,T) {
    return 1/(1 + 1/T) * sigma**2/T;
}

function E(r,mu,T) {
    var result = [];
    for (var t = 1; t <= T; t++) {
        var sum = 0;
        for (var s = 0; s < t; s++) {
            sum = sum + (r[s] - mu);
        }
        result.push(1/(1+1/t) * (1/t) * sum);
    }
    return result;
}


var T     = 26;
var mu    = 0.125;
var sigma = 1;
var r = [];
for(var t=1 ; t <= T; t++){
    r.push(RandomNormal(mu, sigma))
}
r;
E(r,mu,T);
Var(sigma,T);