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00018 #include <vector>
00019
00020 class Mean {
00021
00022 double n;
00023 double mean;
00024
00025 public:
00026 Mean() : n(0), mean(0) {}
00027
00028 void update(double v) {
00029 n++;
00030 double d = v - mean;
00031 mean += 1/n * d;
00032 }
00033
00034 double get_mean() const { return mean; }
00035 };
00036
00037 class Var {
00038 double n;
00039 double mean;
00040 double sumvar;
00041
00042 public:
00043 Var() : n(0), mean(0), sumvar(0) {}
00044
00045 void update(double v) {
00046 n++;
00047 double d = v - mean;
00048 mean += 1/n * d;
00049 sumvar += (n-1)/n * d * d;
00050 }
00051
00052 double get_mean() const { return mean; }
00053 double get_var() const { return sumvar / (n-1); }
00054 double get_std() const { return sqrt(get_var()); }
00055 };
00056
00058 class Cov {
00059 double n;
00060 double meana;
00061 double meanb;
00062 double sumcov;
00063
00064 public:
00065 Cov() : n(0), meana(0), meanb(0), sumcov(0) {}
00066
00067 void update(double a, double b) {
00068 ++n;
00069 double da = a - meana;
00070 double db = b - meanb;
00071
00072 meana += 1/n * da;
00073 meanb += 1/n * db;
00074
00075 sumcov += (n-1)/n * da * db;
00076 }
00077
00078 double get_meana() const { return meana; }
00079 double get_meanb() const { return meanb; }
00080 double get_cov() const { return sumcov / (n-1); }
00081 };
00082
00083 class CovMatrix {
00084 double n;
00085 std::vector<double> mean;
00086 std::vector< std::vector<double> > sumcov;
00087
00088 public:
00089 CovMatrix(unsigned dim) : n(0), mean(dim), sumcov(dim , std::vector<double>(dim)) {}
00090
00091 void update(const std::vector<double>& v) {
00092 n++;
00093
00094 for (unsigned i = 0; i < v.size(); ++i) {
00095 double d = v[i] - mean[i];
00096 mean[i] += 1/n * d;
00097
00098 sumcov[i][i] += (n-1)/n * d * d;
00099
00100 for (unsigned j = i; j < v.size(); ++j) {
00101 double e = v[j] - mean[j];
00102
00103 double upd = (n-1)/n * d * e;
00104
00105 sumcov[i][j] += upd;
00106 sumcov[j][i] += upd;
00107
00108 }
00109 }
00110
00111 }
00112
00113 double get_mean(int i) const { return mean[i]; }
00114 double get_var(int i ) const { return sumcov[i][i] / (n-1); }
00115 double get_std(int i) const { return sqrt(get_var(i)); }
00116 double get_cov(int i, int j) const { return sumcov[i][j] / (n-1); }
00117
00118 };
00119