I did not know about this - very cool! I think I was asking around the numpy/scipy lists a while back but nobody mentioned this; is it new?
A couple of questions inline below.
I think an incremental stats module would be a boon to numpy or scipy.On Thu, Dec 18, 2008 at 8:27 PM, Bradford Cross
> This is a new project I just released.
> I know it is C#, but some of the design and idioms would be nice in
> numpy/scipy for working with discrete event simulators, time series, and
> event stream processing.
Eric Firing has a nice module wrtten in C with a pyrex wrapper
that does trailing incremental mean, median, std, min, max,
and percentile. It maintains a sorted queue to do the last three
efficiently, and handles NaN inputs.
I would like to see this
extended to include exponential or other weightings to do things like
incremental trailing exponential moving averages and variances.
don't know what the licensing terms are of this module, but it might
be a good starting point for an incremental numpy stats module, at
least if you were thinking about supporting a finite lookback window.
We have a copy of this in the py4science examples dir if you want to
take a look:
svn co https://matplotlib.svn.sourceforge.net/svnroot/matplotlib/trunk/py4science/examples/pyrex/trailstats
Other things that would be very useful are incremental covariance and
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