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/* rstat/rstat.c
*
* Copyright (C) 2015 Patrick Alken
*
* This program is free software; you can redistribute it and/or modify
* it under the terms of the GNU General Public License as published by
* the Free Software Foundation; either version 3 of the License, or (at
* your option) any later version.
*
* This program is distributed in the hope that it will be useful, but
* WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
* General Public License for more details.
*
* You should have received a copy of the GNU General Public License
* along with this program; if not, write to the Free Software
* Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301, USA.
*/
#include <config.h>
#include <stdlib.h>
#include <math.h>
#include <gsl/gsl_math.h>
#include <gsl/gsl_errno.h>
#include <gsl/gsl_rstat.h>
gsl_rstat_workspace *
gsl_rstat_alloc(void)
{
gsl_rstat_workspace *w;
w = calloc(1, sizeof(gsl_rstat_workspace));
if (w == 0)
{
GSL_ERROR_NULL ("failed to allocate space for workspace", GSL_ENOMEM);
}
w->median_workspace_p = gsl_rstat_quantile_alloc(0.5);
if (w->median_workspace_p == 0)
{
GSL_ERROR_NULL ("failed to allocate space for median workspace",
GSL_ENOMEM);
}
gsl_rstat_reset(w);
return w;
} /* gsl_rstat_alloc() */
void
gsl_rstat_free(gsl_rstat_workspace *w)
{
if (w->median_workspace_p)
gsl_rstat_quantile_free(w->median_workspace_p);
free(w);
} /* gsl_rstat_free() */
size_t
gsl_rstat_n(gsl_rstat_workspace *w)
{
return w->n;
} /* gsl_rstat_n() */
/* add a data point to the running totals */
int
gsl_rstat_add(const double x, gsl_rstat_workspace *w)
{
double delta = x - w->mean;
double delta_n, delta_nsq, term1, n;
/* update min and max */
if (w->n == 0)
{
w->min = x;
w->max = x;
}
else
{
if (x < w->min)
w->min = x;
if (x > w->max)
w->max = x;
}
/* update mean and variance */
n = (double) ++(w->n);
delta_n = delta / n;
delta_nsq = delta_n * delta_n;
term1 = delta * delta_n * (n - 1.0);
w->mean += delta_n;
w->M4 += term1 * delta_nsq * (n * n - 3.0 * n + 3.0) +
6.0 * delta_nsq * w->M2 - 4.0 * delta_n * w->M3;
w->M3 += term1 * delta_n * (n - 2.0) - 3.0 * delta_n * w->M2;
w->M2 += term1;
/* update median */
gsl_rstat_quantile_add(x, w->median_workspace_p);
return GSL_SUCCESS;
} /* gsl_rstat_add() */
double
gsl_rstat_min(gsl_rstat_workspace *w)
{
return w->min;
} /* gsl_rstat_min() */
double
gsl_rstat_max(gsl_rstat_workspace *w)
{
return w->max;
} /* gsl_rstat_max() */
double
gsl_rstat_mean(gsl_rstat_workspace *w)
{
return w->mean;
} /* gsl_rstat_mean() */
double
gsl_rstat_variance(gsl_rstat_workspace *w)
{
if (w->n > 1)
{
double n = (double) w->n;
return (w->M2 / (n - 1.0));
}
else
return 0.0;
} /* gsl_rstat_variance() */
double
gsl_rstat_sd(gsl_rstat_workspace *w)
{
double var = gsl_rstat_variance(w);
return (sqrt(var));
} /* gsl_rstat_sd() */
double
gsl_rstat_rms(gsl_rstat_workspace *w)
{
double rms = 0.0;
if (w->n > 0)
{
double mean = gsl_rstat_mean(w);
double sigma = gsl_rstat_sd(w);
double n = (double) w->n;
double a = sqrt((n - 1.0) / n);
rms = gsl_hypot(mean, a * sigma);
}
return rms;
}
/* standard deviation of the mean: sigma / sqrt(n) */
double
gsl_rstat_sd_mean(gsl_rstat_workspace *w)
{
if (w->n > 0)
{
double sd = gsl_rstat_sd(w);
return (sd / sqrt((double) w->n));
}
else
return 0.0;
} /* gsl_rstat_sd_mean() */
double
gsl_rstat_median(gsl_rstat_workspace *w)
{
return gsl_rstat_quantile_get(w->median_workspace_p);
}
double
gsl_rstat_skew(gsl_rstat_workspace *w)
{
if (w->n > 0)
{
double n = (double) w->n;
double fac = pow(n - 1.0, 1.5) / n;
return ((fac * w->M3) / pow(w->M2, 1.5));
}
else
return 0.0;
} /* gsl_rstat_skew() */
double
gsl_rstat_kurtosis(gsl_rstat_workspace *w)
{
if (w->n > 0)
{
double n = (double) w->n;
double fac = ((n - 1.0) / n) * (n - 1.0);
return ((fac * w->M4) / (w->M2 * w->M2) - 3.0);
}
else
return 0.0;
} /* gsl_rstat_kurtosis() */
int
gsl_rstat_reset(gsl_rstat_workspace *w)
{
int status;
w->min = 0.0;
w->max = 0.0;
w->mean = 0.0;
w->M2 = 0.0;
w->M3 = 0.0;
w->M4 = 0.0;
w->n = 0;
status = gsl_rstat_quantile_reset(w->median_workspace_p);
return status;
} /* gsl_rstat_reset() */
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