Online computation of mean and variance using the Welford algorithm.

Please see the README on GitHub at https://github.com/githubuser/welford-online-mean-variance#readme

Welford: Online mean and variance computation

Example

example :: [Double] -> IO ()
example vals = do
  let n = fromIntegral (length vals)
      mean = sum vals / n
      var = sum (map (\x -> (x - mean) ^ 2) vals) / (n - 1)
      (wMean, _, wVarSample) = finalize $ foldl' addValue WelfordExistingAggregateEmpty vals
  print (mean, var)
  print (wMean, wVarSample)

WelfordExistingAggregate is used to save the state. Use the function finalize to retrieve the current estimates for the mean, variance and sample variance.