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From "Mark R. Diggory" <mdigg...@latte.harvard.edu>
Subject Re: [math] exceptions or NaN from Univariate
Date Wed, 14 May 2003 12:43:44 GMT


Phil Steitz wrote:
> 
> A useful extension to Univariate would be to support a "rolling" 
> capability, as follows:
> 
> Add a property called something like "windowSize" and change the 
> contract to mean that getMean(), getVariance, etc. always return 
> statistics on values {n, n-1, ... n-windowSize+1}.  Have the default 
> windowSize "infinity" (i.e., no restriction).  This would be useful in 
> applications (e.g simulation monitors) that need to compute "rolling 
> averages".
> 
> Obviously, we would want to do this without storing all of the values 
> {n, n-1, ... n-windowSize+1}.
> 
> Phil
> 
Is there a strategy to do this without storing all the values of the 
current window? if your just storing sum and sumsq, I'm not sure how you 
would "back out" of the computation at the end of the window. Of course, 
I may be missing something.

-Mark


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