zscore()

MAYAFLUX_API double MayaFlux::Kinesis::Discrete::zscore ( std::span< const double >  window, std::span< const double >  coefs  )

noexcept

How far the newest value sits from the rest of the window, in standard deviations.

A novelty measure. Not Discrete::mean_zscore, which averages the z-scores of a window about its own mean.

window[0] against the mean and sample standard deviation of window[1..]. coefs[0], when present, is the smallest deviation used as a divisor (default 1e-12), so a flat history does not divide by zero. Fewer than two older values give zero.

Definition at line 438 of file Kernels.cpp.

{
    if (window.size() < 3)
        return 0.0;
 
    const auto past = window.subspan(1);
    const double mean = sum_of(past) / static_cast<double>(past.size());
 
    const double floor = coefs.empty() ? 1e-12 : std::max(coefs.front(), 1e-12);
    const double deviation = std::max(Stochastic::Estimate::stddev(past), floor);
    return (window.front() - mean) / deviation;
}

References mean(), MayaFlux::Kinesis::Stochastic::Estimate::stddev(), and window.

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