[Numpy-discussion] new incremental statistics project

[Charles R Harris]

On Fri, Dec 19, 2008 at 6:53 AM, John Hunter <jdh2358 at gmail.com> wrote:

> On Thu, Dec 18, 2008 at 8:27 PM, Bradford Cross
> <bradford.n.cross at gmail.com> wrote:
> > 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.
> >
> > http://code.google.com/p/incremental-statistics/
>
> I think an incremental stats module would be a boon to numpy or scipy.
>  Eric Firing has a nice module wrtten in C with a pyrex wrapper
> (ringbuf) 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.  I
> 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
>    cd trailstats/
>   make
>   python movavg_ringbuf.py
>
> Other things that would be very useful are incremental covariance and
> regression.
>

Some sort of Kalman filter?

Chuck
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