online_mean_std.py

import numpy as np

# online computation of the mean and the variance.

class RollingMean:

    def __init__(self):
        self.st = 0.0
        self.n = 0

    def update(self, x):
        self.st += x
        self.n += 1
        return self.st / self.n


class RollingStd:

    def __init__(self):
        self.sst = 0.0
        self.st = 0.0
        self.n = 0

    def update(self, x):
        self.sst += x ** 2
        self.st += x
        self.n += 1
        return np.sqrt((self.sst - (self.st ** 2) / self.n) / self.n)