update_rolling_variance()

double MayaFlux::Kinesis::Stochastic::Estimate::update_rolling_variance ( double  sample )

private

Definition at line 65 of file Estimate.cpp.

{
    m_history.push(sample);
    const auto view = m_history.linearized_view();
 
    const double v = variance(view);
    const double mean = std::accumulate(view.begin(), view.end(), 0.0) / static_cast<double>(view.size());
 
    m_state.running_mean = mean;
    m_state.running_variance = v;
    m_state.floor = std::sqrt(v);
    m_state.filtered_value = mean;
 
    return m_state.floor;
}

References MayaFlux::Kinesis::Stochastic::EstimateState::filtered_value, MayaFlux::Kinesis::Stochastic::EstimateState::floor, MayaFlux::Memory::HistoryBuffer< T >::linearized_view(), m_history, m_state, MayaFlux::mean(), MayaFlux::Memory::HistoryBuffer< T >::push(), MayaFlux::Kinesis::Stochastic::EstimateState::running_mean, MayaFlux::Kinesis::Stochastic::EstimateState::running_variance, and variance().

Referenced by update().

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