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