online mean & variance estimators

online_mean_variance.py

class OnlineStats:
    # https://www.johndcook.com/blog/standard_deviation/
    # Knuth TAOCP vol 2, 3rd edition, page 232

    def __init__(self):
        self.n = 0

    def push(self, x):
        self.n += 1

        if self.n == 1:
            self.oldM = x
            self.newM = x
            self.oldS = 0.
        else:
            self.newM = self.oldM + (x - self.oldM) / self.n
            self.newS = self.oldS + (x - self.oldM) * (x - self.newM)
            self.oldM = self.newM
            self.oldS = self.newS

    def mean(self):
        return self.newM if self.n > 0 else 0.

    def variance(self):
        return self.newS/(self.n - 1) if self.n > 1 else 0.

    def std(self):
      return self.variance().sqrt_()