magic_stats/cpp/include/welford.hpp

#pragma once
#include <cmath>
#include <chrono>
#include "stats.hpp"

struct WelfordStats {
  double Mean = 0.0; // LOL
  double n = 0.0;
  double M2 = 0.0;

  double min = 0.0;
  double max = 0.0;

  inline void reset() {
    Mean = 0.0;
    n = 0.0;
    M2 = 0.0;

    min = 0.0;
    max = 0.0;
  }

  inline double mean() {
    return Mean;
  }

  inline double stddev(bool use_sample=true) {
    if(use_sample) {
      return std::sqrt(sample_variance());
    } else {
      return std::sqrt(variance());
    }
  }

  inline double variance() {
    return M2 / n;
  }

  inline double sample_variance() {
    return M2 / (n - 1);
  }

  inline void sample(double s) {
    n += 1;
    double old_mean = Mean;
    Mean += (s - Mean) / n;
    M2 += (s - old_mean) * (s - Mean);

    if (n == 0) {
      min = s;
      max = s;
    } else {
      if (min > s) min = s;
      if (max < s) max = s;
    }
  }

  TTest t_test(WelfordStats& other);
};