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schmrlng/cumstats.jl

Created April 9, 2015 04:20
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O(n) functions for computing cumulative estimates of some basic statistics (useful e.g. for plotting how these estimates evolve).
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cumstats.jl
cummean(x) = cumsum(x) ./ [1:length(x)]
cumvar(x, m = cummean(x)) = cumsum((1 - 1 ./ [1:length(x)]).*(x - [0, m[1:end-1]]).^2) ./ [1:length(x)]
cumcov(x, y, mx = cummean(x), my = cummean(y)) = cumsum((1 - 1 ./ [1:length(x)]).*(x - [0, mx[1:end-1]]).*(y - [0, my[1:end-1]])) ./ [1:length(x)]
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