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/* Copyright 2008-2011 Research Foundation State University of New York   */

/* This file is part of QUB Express.                                      */

/* QUB Express is free software; you can redistribute it and/or modify    */
/* it under the terms of the GNU General Public License as published by   */
/* the Free Software Foundation, either version 3 of the License, or      */
/* (at your option) any later version.                                    */

/* QUB Express is distributed in the hope that it will be useful,         */
/* but WITHOUT ANY WARRANTY; without even the implied warranty of         */
/* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the          */
/* GNU General Public License for more details.                           */

/* You should have received a copy of the GNU General Public License,     */
/* named LICENSE.txt, in the QUB Express program directory.  If not, see  */
/* <http://www.gnu.org/licenses/>.                                        */

#ifndef RUNNING_MEAN_H
#define RUNNING_MEAN_H

#include "qubfast.h"
/*
Here is a technique to estimate mean and std.dev of an unbounded sequence::
 The basic equation you need for a single pass update is:
 new S2 = old S2 + (x - old_M).(x - new_M)
 where S2 = sum of squares of deviations from the mean M.
 
 It is implemented as follows:
 Start: n = 0, M = 0, S2 = 0
 Then for each observation x:
 dev = x - M
 n = n + 1
 M = M + dev/n
 S2 = S2 + dev.(x - M)
 
 When you want to calculate the sample std. devn. :
 std.dev. = sqrt( S2 / (n-1) )
 --
 Alan Miller, Retired Scientist (Statistician)
 CSIRO Mathematical & Information Sciences
 a...@vic.cmis.csiro.au, mille...@ozemail.com.au
 http://www.ozemail.com.au/~milleraj
*/


class QUBFAST_API RunningMean
{
public:
  int n;
  double mean, s2;
  
  RunningMean();
  void add(double x);
  double std();
};

#endif