Incremental Moments

incremental_moments.py

import numpy as np


class IncrementalMoments(object):
    '''Knuth's incremental mean and variance computation, applied elementwise.'''
    def __init__(self, shape, initial_items=[]):
        self.n = 0
        self.mean = np.zeros(shape)
        self.m2 = np.zeros(shape)
        self.update_seq(initial_items)

    def update(self, x):
        self.n += 1
        delta = x - self.mean
        self.mean += delta / self.n
        self.m2 += delta * (x - self.mean)

    def update_seq(self, items):
        for item in items:
            self.update(item)

    @property
    def variance(self):
        return self.m2 / (self.n - 1)