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domgetter/rolling_variance.clj

Created January 5, 2016 12:41
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rolling_variance.clj
(defn rolling-variance
([] [0.0 0.0 0])
([[m v c] val]
(let [mean (+ m (/ (- val m) (inc c)))
var (+ v (* (- val m) (- val mean)))]
[mean var (inc c)])))
(defn standard-deviation [coll]
(let [[_ variance count] (reduce rolling-variance (rolling-variance) coll)]
(Math/sqrt (/ variance count))))
(standard-deviation [2 4 4 4 5 5 7 9]) ;=> 2-ish
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