WelfordsVariance.cs

using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;

namespace Algorithms.Other
{
    /// <summary>Implementation of Welford's variance algorithm.
    /// </summary>
    public class WelfordsVariance
    {
        /// <summary>
        ///     Mean accumulates the mean of the entire dataset,
        ///     m2 aggregates the squared distance from the mean,
        ///     count aggregates the number of samples seen so far.
        /// </summary>
        private int count;

        public double Count => count;

        private double mean;

        public double Mean => count > 1 ? mean : double.NaN;

        private double m2;

        public double Variance => count > 1 ? m2 / count : double.NaN;

        public double SampleVariance => count > 1 ? m2 / (count - 1) : double.NaN;

        public WelfordsVariance()
        {
            count = 0;
            mean = 0;
        }

        public WelfordsVariance(double[] values)
        {
            count = 0;
            mean = 0;
            AddRange(values);
        }

        public void AddValue(double newValue)
        {
            count++;
            AddValueToDataset(newValue);
        }

        public void AddRange(double[] values)
        {
            var length = values.Length;
            for (var i = 1; i <= length; i++)
            {
                count++;
                AddValueToDataset(values[i - 1]);
            }
        }

        private void AddValueToDataset(double newValue)
        {
            var delta1 = newValue - mean;
            var newMean = mean + delta1 / count;

            var delta2 = newValue - newMean;
            m2 += delta1 * delta2;

            mean = newMean;
        }
    }
}