Algorithms to calculate incremental mean and variance.

# Moving Mean

## Algorithm

# Initialize iter = 1 mean = 0 # initial mean # Loop (sample: x) mean = (x + iter * mean) / (iter + 1) iter = iter + 1

## Example

[code]# Moving Variance

## Algorithm

# Initialize iter = 1 mean = 0 # initial mean last = 0 vrnc = 0 # initial variance # Loop (sample: x) mean = (x + iter * mean) / (iter + 1) last = mean vrnc = (iter * vrnc + (x - last) * (x - mean)) / (iter + 1) iter = iter + 1

## Example

[code]# Exponentially Weighted Moving Mean and Variance

## Algorithm

# Initialize alph = 0.01 # forgetting factor [small update >> 0, strong update >> 1] mean = 0 # initial mean vrnc = 0 # initial variance # Loop (sample: x) diff = x - mean incr = alph * diff mean = mean + incr vrnc = (1 - alph) * (vrnc + diff * incr)