weighted standard deviation

standarddeviation.cpp

#include "standarddeviation.h"
stddev::StandardDeviation::StandardDeviation(const std::vector<stddev::sampleGroup> &population):
	m_Avg(0),
	m_Weight(0),
	m_StdDev(0),
	m_StdError(0) {

	// If there are no samples just skip everything and keep all zeros
	if (!population.empty()) {
		// Weighted Calculation of the Standard Deviation using the incremental method
		// from https://en.wikipedia.org/wiki/Standard_deviation
		long double q = 0;
		for (auto n : population) {
			if (!n.weight == 0) {
				//Math magic
				m_Weight += n.weight;
				double delta = n.weight * (n.value - m_Avg);
				m_Avg += delta / m_Weight;
				q += delta * (n.value - m_Avg);
			}
		}
		//m_StdDev = pow(q / m_Weight, 0.5);  // Population
		m_StdDev = pow(q / (m_Weight - 1), 0.5);  // Sample

		// Standard Error is the (sample) Standard Deviation divided by the square root of the weight
		m_StdError = m_StdDev / pow(m_Weight, 0.5);
	}
}

standarddeviation.h

#pragma once

#include <cmath>        // pow raise to the power
#include <vector>

namespace stddev {

struct sampleGroup {
	double value;      // what was value
	double weight;     // how many times is the value to be counted
};


class StandardDeviation {
public:
	/** Default constructor */
	explicit StandardDeviation(const std::vector<stddev::sampleGroup> &dataIn);

	const double GetAvg() {
		return m_Avg;
	}

	const double GetWeight() {
		return m_Weight;
	}

	const double GetStdDev() {
		return m_StdDev;
	}

	const double GetStdError() {
		return m_StdError;
	}


protected:
private:
	double m_Avg;
	double m_Weight;
	double m_StdDev;
	double m_StdError;
};

}