Merge pull request elastic#35 from polyfractal/feature/movingstd

Add naive moving standard deviation function

series_functions/movingstd.js

@@ -0,0 +1,45 @@
+var alter = require('../lib/alter.js');
+var _ = require('lodash');
+var Chainable = require('../lib/classes/chainable');
+module.exports = new Chainable('movingstd', {
+  args: [
+    {
+      name: 'inputSeries',
+      types: ['seriesList']
+    },
+    {
+      name: 'window',
+      types: ['number'],
+      help: 'Number of points to compute the standard deviation over'
+    }
+  ],
+  aliases: ['mvstd'],
+  help: 'Calculate the moving standard deviation over a given window. Uses naive two-pass algorithm. Rounding errors may become more noticeable with very long series, or series with very large numbers.',
+  fn: function movingaverageFn(args) {
+    return alter(args, function (eachSeries, _window) {
+
+      var pairs = eachSeries.data;
+
+      eachSeries.data = _.map(pairs, function (point, i) {
+        if (i < _window) { return [point[0], null]; }
+
+        var average = _.chain(pairs.slice(i - _window, i))
+        .map(function (point) {
+          return point[1];
+        }).reduce(function (memo, num) {
+          return (memo + num);
+        }).value() / _window;
+
+        var variance = _.chain(pairs.slice(i - _window, i))
+        .map(function (point) {
+          return point[1];
+        }).reduce(function (memo, num) {
+          return memo + Math.pow(num - average, 2);
+        }).value() / (_window - 1);
+
+        return [point[0], Math.sqrt(variance)];
+      });
+      return eachSeries;
+    });
+  }
+});