https://github.com/stdlib-js/stats-incr-ewstdev
Compute an exponentially weighted standard deviation incrementally.
https://github.com/stdlib-js/stats-incr-ewstdev
deviation dispersion emsd emv ewmsd ewmv exponential javascript math mathematics node node-js nodejs standard statistics stats stdlib var variance weighted
Last synced: about 2 months ago
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Compute an exponentially weighted standard deviation incrementally.
- Host: GitHub
- URL: https://github.com/stdlib-js/stats-incr-ewstdev
- Owner: stdlib-js
- License: apache-2.0
- Created: 2021-06-14T13:23:30.000Z (almost 5 years ago)
- Default Branch: main
- Last Pushed: 2026-01-26T01:09:21.000Z (2 months ago)
- Last Synced: 2026-01-26T15:56:54.862Z (2 months ago)
- Topics: deviation, dispersion, emsd, emv, ewmsd, ewmv, exponential, javascript, math, mathematics, node, node-js, nodejs, standard, statistics, stats, stdlib, var, variance, weighted
- Language: JavaScript
- Homepage: https://github.com/stdlib-js/stdlib
- Size: 850 KB
- Stars: 2
- Watchers: 2
- Forks: 0
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
- Changelog: CHANGELOG.md
- Contributing: CONTRIBUTING.md
- License: LICENSE
- Code of conduct: CODE_OF_CONDUCT.md
- Citation: CITATION.cff
- Security: SECURITY.md
- Notice: NOTICE
Awesome Lists containing this project
README
About stdlib...
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The library is fully decomposable, being architected in such a way that you can swap out and mix and match APIs and functionality to cater to your exact preferences and use cases.
When you use stdlib, you can be absolutely certain that you are using the most thorough, rigorous, well-written, studied, documented, tested, measured, and high-quality code out there.
To join us in bringing numerical computing to the web, get started by checking us out on GitHub, and please consider financially supporting stdlib. We greatly appreciate your continued support!
# increwstdev
[![NPM version][npm-image]][npm-url] [![Build Status][test-image]][test-url] [![Coverage Status][coverage-image]][coverage-url]
> Compute an [exponentially weighted standard deviation][moving-average] incrementally.
An [exponentially weighted variance][moving-average] can be defined recursively as
```math
S_n = \begin{cases} 0 & \textrm{if}\ n = 0 \\ (1 - \alpha) (S_{n-1} + \alpha(x_n - \mu_{n-1})^2) & \textrm{if}\ n > 0 \end{cases}
```
where `μ` is the [exponentially weighted mean][@stdlib/stats/incr/ewmean]. The [exponentially weighted standard deviation][moving-average] is the square root of the [exponentially weighted variance][moving-average].
## Installation
```bash
npm install @stdlib/stats-incr-ewstdev
```
Alternatively,
- To load the package in a website via a `script` tag without installation and bundlers, use the [ES Module][es-module] available on the [`esm`][esm-url] branch (see [README][esm-readme]).
- If you are using Deno, visit the [`deno`][deno-url] branch (see [README][deno-readme] for usage intructions).
- For use in Observable, or in browser/node environments, use the [Universal Module Definition (UMD)][umd] build available on the [`umd`][umd-url] branch (see [README][umd-readme]).
The [branches.md][branches-url] file summarizes the available branches and displays a diagram illustrating their relationships.
To view installation and usage instructions specific to each branch build, be sure to explicitly navigate to the respective README files on each branch, as linked to above.
## Usage
```javascript
var increwstdev = require( '@stdlib/stats-incr-ewstdev' );
```
#### increwstdev( alpha )
Returns an accumulator `function` which incrementally computes an [exponentially weighted standard deviation][moving-average], where `alpha` is a smoothing factor between `0` and `1`.
```javascript
var accumulator = increwstdev( 0.5 );
```
#### accumulator( \[x] )
If provided an input value `x`, the accumulator function returns an updated standard deviation. If not provided an input value `x`, the accumulator function returns the current standard deviation.
```javascript
var accumulator = increwstdev( 0.5 );
var s = accumulator();
// returns null
s = accumulator( 2.0 );
// returns 0.0
s = accumulator( 1.0 );
// returns 0.5
s = accumulator( 3.0 );
// returns ~0.83
s = accumulator();
// returns ~0.83
```
## Notes
- Input values are **not** type checked. If provided `NaN` or a value which, when used in computations, results in `NaN`, the accumulated value is `NaN` for **all** future invocations. If non-numeric inputs are possible, you are advised to type check and handle accordingly **before** passing the value to the accumulator function.
## Examples
```javascript
var randu = require( '@stdlib/random-base-randu' );
var increwstdev = require( '@stdlib/stats-incr-ewstdev' );
var accumulator;
var v;
var i;
// Initialize an accumulator:
accumulator = increwstdev( 0.5 );
// For each simulated datum, update the exponentially weighted standard deviation...
for ( i = 0; i < 100; i++ ) {
v = randu() * 100.0;
accumulator( v );
}
console.log( accumulator() );
```
* * *
## See Also
- [`@stdlib/stats-incr/ewvariance`][@stdlib/stats/incr/ewvariance]: compute an exponentially weighted variance incrementally.
- [`@stdlib/stats-incr/mstdev`][@stdlib/stats/incr/mstdev]: compute a moving corrected sample standard deviation incrementally.
- [`@stdlib/stats-incr/stdev`][@stdlib/stats/incr/stdev]: compute a corrected sample standard deviation incrementally.
* * *
## Notice
This package is part of [stdlib][stdlib], a standard library for JavaScript and Node.js, 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][stdlib], see the main project [repository][stdlib].
#### Community
[![Chat][chat-image]][chat-url]
---
## License
See [LICENSE][stdlib-license].
## Copyright
Copyright © 2016-2026. The Stdlib [Authors][stdlib-authors].
[npm-image]: http://img.shields.io/npm/v/@stdlib/stats-incr-ewstdev.svg
[npm-url]: https://npmjs.org/package/@stdlib/stats-incr-ewstdev
[test-image]: https://github.com/stdlib-js/stats-incr-ewstdev/actions/workflows/test.yml/badge.svg?branch=main
[test-url]: https://github.com/stdlib-js/stats-incr-ewstdev/actions/workflows/test.yml?query=branch:main
[coverage-image]: https://img.shields.io/codecov/c/github/stdlib-js/stats-incr-ewstdev/main.svg
[coverage-url]: https://codecov.io/github/stdlib-js/stats-incr-ewstdev?branch=main
[chat-image]: https://img.shields.io/badge/zulip-join_chat-brightgreen.svg
[chat-url]: https://stdlib.zulipchat.com
[stdlib]: https://github.com/stdlib-js/stdlib
[stdlib-authors]: https://github.com/stdlib-js/stdlib/graphs/contributors
[umd]: https://github.com/umdjs/umd
[es-module]: https://developer.mozilla.org/en-US/docs/Web/JavaScript/Guide/Modules
[deno-url]: https://github.com/stdlib-js/stats-incr-ewstdev/tree/deno
[deno-readme]: https://github.com/stdlib-js/stats-incr-ewstdev/blob/deno/README.md
[umd-url]: https://github.com/stdlib-js/stats-incr-ewstdev/tree/umd
[umd-readme]: https://github.com/stdlib-js/stats-incr-ewstdev/blob/umd/README.md
[esm-url]: https://github.com/stdlib-js/stats-incr-ewstdev/tree/esm
[esm-readme]: https://github.com/stdlib-js/stats-incr-ewstdev/blob/esm/README.md
[branches-url]: https://github.com/stdlib-js/stats-incr-ewstdev/blob/main/branches.md
[stdlib-license]: https://raw.githubusercontent.com/stdlib-js/stats-incr-ewstdev/main/LICENSE
[moving-average]: https://en.wikipedia.org/wiki/Moving_average
[@stdlib/stats/incr/ewmean]: https://github.com/stdlib-js/stats-incr-ewmean
[@stdlib/stats/incr/ewvariance]: https://github.com/stdlib-js/stats-incr-ewvariance
[@stdlib/stats/incr/mstdev]: https://github.com/stdlib-js/stats-incr-mstdev
[@stdlib/stats/incr/stdev]: https://github.com/stdlib-js/stats-incr-stdev