Online algorithm for mean and variance, with support for uneven weights

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Genetic algorithms welford
Overview

welford

Crates.io docs.rs Crates.io

Online algorithm for mean and variance, with support for uneven weights.

This implements the Welford's online algorithm for computing mean and variance in a single pass. The initial implementation was based on this StackOverflow answer by Tim.

Weights are treated as suggested by West. The implementation uses weights as frequencies instead of reliabilities for the calculation of variances.

References

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