README.md

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sstdevtk

Calculate the standard deviation of a single-precision floating-point strided array using a one-pass textbook algorithm.

The population standard deviation of a finite size population of size N is given by

$$\sigma = \sqrt{\frac{1}{N} \sum_{i=0}^{N-1} (x_i - \mu)^2}$$

where the population mean is given by

$$\mu = \frac{1}{N} \sum_{i=0}^{N-1} x_i$$

Often in the analysis of data, the true population standard deviation is not known a priori and must be estimated from a sample drawn from the population distribution. If one attempts to use the formula for the population standard deviation, the result is biased and yields an uncorrected sample standard deviation. To compute a corrected sample standard deviation for a sample of size n,

$$s = \sqrt{\frac{1}{n-1} \sum_{i=0}^{n-1} (x_i - \bar{x})^2}$$

where the sample mean is given by

$$\bar{x} = \frac{1}{n} \sum_{i=0}^{n-1} x_i$$

The use of the term n-1 is commonly referred to as Bessel's correction. Note, however, that applying Bessel's correction can increase the mean squared error between the sample standard deviation and population standard deviation. Depending on the characteristics of the population distribution, other correction factors (e.g., n-1.5, n+1, etc) can yield better estimators.

Usage

import sstdevtk from 'https://cdn.jsdelivr.net/gh/stdlib-js/stats-base-sstdevtk@esm/index.mjs';

sstdevtk( N, correction, x, strideX )

Computes the standard deviation of a single-precision floating-point strided array x using a one-pass textbook algorithm.

import Float32Array from 'https://cdn.jsdelivr.net/gh/stdlib-js/array-float32@esm/index.mjs';

var x = new Float32Array( [ 1.0, -2.0, 2.0 ] );

var v = sstdevtk( x.length, 1, x, 1 );
// returns ~2.0817

The function has the following parameters:

• N: number of indexed elements.
• correction: degrees of freedom adjustment. Setting this parameter to a value other than 0 has the effect of adjusting the divisor during the calculation of the standard deviation according to N-c where c corresponds to the provided degrees of freedom adjustment. When computing the standard deviation of a population, setting this parameter to 0 is the standard choice (i.e., the provided array contains data constituting an entire population). When computing the corrected sample standard deviation, setting this parameter to 1 is the standard choice (i.e., the provided array contains data sampled from a larger population; this is commonly referred to as Bessel's correction).
• x: input Float32Array.
• strideX: stride length for x.

The N and stride parameters determine which elements in the strided array are accessed at runtime. For example, to compute the standard deviation of every other element in x,

import Float32Array from 'https://cdn.jsdelivr.net/gh/stdlib-js/array-float32@esm/index.mjs';

var x = new Float32Array( [ 1.0, 2.0, 2.0, -7.0, -2.0, 3.0, 4.0, 2.0 ] );

var v = sstdevtk( 4, 1, x, 2 );
// returns 2.5

Note that indexing is relative to the first index. To introduce an offset, use typed array views.

import Float32Array from 'https://cdn.jsdelivr.net/gh/stdlib-js/array-float32@esm/index.mjs';

var x0 = new Float32Array( [ 2.0, 1.0, 2.0, -2.0, -2.0, 2.0, 3.0, 4.0 ] );
var x1 = new Float32Array( x0.buffer, x0.BYTES_PER_ELEMENT*1 ); // start at 2nd element

var v = sstdevtk( 4, 1, x1, 2 );
// returns 2.5

sstdevtk.ndarray( N, correction, x, strideX, offsetX )

Computes the standard deviation of a single-precision floating-point strided array using a one-pass textbook algorithm and alternative indexing semantics.

import Float32Array from 'https://cdn.jsdelivr.net/gh/stdlib-js/array-float32@esm/index.mjs';

var x = new Float32Array( [ 1.0, -2.0, 2.0 ] );

var v = sstdevtk.ndarray( x.length, 1, x, 1, 0 );
// returns ~2.0817

The function has the following additional parameters:

• offsetX: starting index for x.

While typed array views mandate a view offset based on the underlying buffer, the offset parameter supports indexing semantics based on a starting index. For example, to calculate the standard deviation for every other element in x starting from the second element

import Float32Array from 'https://cdn.jsdelivr.net/gh/stdlib-js/array-float32@esm/index.mjs';

var x = new Float32Array( [ 2.0, 1.0, 2.0, -2.0, -2.0, 2.0, 3.0, 4.0 ] );

var v = sstdevtk.ndarray( 4, 1, x, 2, 1 );
// returns 2.5

Notes

• If N <= 0, both functions return NaN.
• If N - c is less than or equal to 0 (where c corresponds to the provided degrees of freedom adjustment), both functions return NaN.
• Some caution should be exercised when using the one-pass textbook algorithm. Literature overwhelmingly discourages the algorithm's use for two reasons: 1) the lack of safeguards against underflow and overflow and 2) the risk of catastrophic cancellation when subtracting the two sums if the sums are large and the variance small. These concerns have merit; however, the one-pass textbook algorithm should not be dismissed outright. For data distributions with a moderately large standard deviation to mean ratio (i.e., coefficient of variation), the one-pass textbook algorithm may be acceptable, especially when performance is paramount and some precision loss is acceptable (including a risk of computing a negative variance due to floating-point rounding errors!). In short, no single "best" algorithm for computing the standard deviation exists. The "best" algorithm depends on the underlying data distribution, your performance requirements, and your minimum precision requirements. When evaluating which algorithm to use, consider the relative pros and cons, and choose the algorithm which best serves your needs.

Examples

<!DOCTYPE html>
<html lang="en">
<body>
<script type="module">

import discreteUniform from 'https://cdn.jsdelivr.net/gh/stdlib-js/random-array-discrete-uniform@esm/index.mjs';
import sstdevtk from 'https://cdn.jsdelivr.net/gh/stdlib-js/stats-base-sstdevtk@esm/index.mjs';

var x = discreteUniform( 10, -50, 50, {
    'dtype': 'float32'
});
console.log( x );

var v = sstdevtk( x.length, 1, x, 1 );
console.log( v );

</script>
</body>
</html>

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References

• Ling, Robert F. 1974. "Comparison of Several Algorithms for Computing Sample Means and Variances." Journal of the American Statistical Association 69 (348). American Statistical Association, Taylor & Francis, Ltd.: 859–66. doi:10.2307/2286154.

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See Also

• @stdlib/stats-base/dstdevtk: calculate the standard deviation of a double-precision floating-point strided array using a one-pass textbook algorithm.
• @stdlib/stats-base/snanstdevtk: calculate the standard deviation of a single-precision floating-point strided array ignoring NaN values and using a one-pass textbook algorithm.
• @stdlib/stats-base/sstdev: calculate the standard deviation of a single-precision floating-point strided array.
• @stdlib/stats-base/stdevtk: calculate the standard deviation of a strided array using a one-pass textbook algorithm.
• @stdlib/stats-base/svariancetk: calculate the variance of a single-precision floating-point strided array using a one-pass textbook algorithm.

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Notice

This package is part of stdlib, a standard library with an emphasis on numerical and scientific computing. The library provides a collection of robust, high performance libraries for mathematics, statistics, streams, utilities, and more.

For more information on the project, filing bug reports and feature requests, and guidance on how to develop stdlib, see the main project repository.

Community

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License

See LICENSE.

Copyright

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