[Numpy-discussion] new incremental statistics project

[Eric Firing]

John Hunter 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

Licensing is no problem; I have never bothered with it, but I can tack 
on a BSD-type license if that would help.

Eric

> 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.
> 
> JDH