neerajnagi/online_moment.md

## online_moment.md

      
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              online_moment.md
            
          
    WINDOW is # of batches to be used
#define WINDOW = 24   //for 4 hours
double n,m1,m2,m3,m4  //mN is Nth moment
function reset(){
n=0
m1=0
m2=0
m3=0
m4=0
}
function add(double x){
if(n>=WINDOW)
reset()
double n1 , delta , delta_n, delta_n2, term1;

n1=n;
n=n+1;
delta = x-m1;
delta_n = delta/n;
delta_n2 = delta_n * delta_n;
term1 = delta * delta_n * n1;
m1 += delta_n;
m4 += term1 * delta_n2 * (nn - 3n + 3) + 6 * delta_n2 * m2 - 4 * delta_n * m3;
m3 += term1 * delta_n * (n - 2) - 3 * delta_n * m2;
m2 += term1;
}
function mean(){
return m1
}
function variance(){
return m2/n-1
}
function skewness(){
return Math.sqrt(n)*m3/Math.pow(m2,1.5)
}
function kurtosis(){
return (nm4/(m2m2)) - 3
}