StatsInternal

Namespace: Deedle

Nested types and modules

Type	Description
Moments	Represents the moments as calculated during online processing (`nobs` is the count, `sum` is the sum, `M1` to `M4` are moments)
Sums	When calculating moments, this record is used to keep track of the count (`nobs`), sum of values (`sum`), sum of squares (`sum2`), sum of values to the power of 3 and 3 (`sum3` and `sum4`)

Functions and values

Function or value	Description
`applyExpandingMomentsTransform(...)` Signature: proj:(Moments -> float) -> series:Series<'K,'V> -> Series<'K,float> Type parameters: 'K, 'V	Given a series, calculates expanding moments (using online `updateMoments`) The specified `proj` function is used to calculate the resulting value Throws a `FormatException` or an `InvalidCastException` if the value type of the series is not convertible to floating point number.
`applyMovingSumsTransform(...)` Signature: moment:int -> winSize:int -> proj:(Sums -> float) -> series:Series<'K,'V> -> Series<'K,float> Type parameters: 'K, 'V	Apply moving window transformation based on `Sums` calculation. The `proj` function calculates the statistics from `Sums` value and the `moment` specifies which of the `Sums` properties are calculated during the processing. Throws a `FormatException` or an `InvalidCastException` if the value type of the series is not convertible to floating point number.
`applySeriesProj proj series` Signature: proj:(seq<float opt> -> float []) -> series:Series<'K,float> -> Series<'K,float> Type parameters: 'K	Apply transformation on series elements. The projection function `proj` always returns `float`, but may return `nan` to indicate that the value is not available. The resulting sequence should have the same number of values as the input sequence
`expandingWindowFn(...)` Signature: initState:'?689731 -> fupdate:('?689731 -> '?689732 -> '?689731) -> ftransf:('?689731 -> '?689733) -> source:seq<'?689732> -> seq<'?689733> Type parameters: '?689731, '?689732, '?689733	Helper for expanding window calculations Parameters `initState` is the initial state of the computation
`initSumsDense moment init` Signature: moment:int -> init:float [] -> Sums	Given an initial array of values, calculate the initial `Sums` value (only required elements of `Sums` are calculated based on `moment`)
`initSumsSparse moment init` Signature: moment:int -> init:'V opt [] -> Sums Type parameters: 'V	Pick only available values from the input array and call `initSumsDense` (no need to handle `nan` values, because those are returned as Missing by Deedle) Throws a `FormatException` or an `InvalidCastException` if the value type is not convertible to floating point number.
`kurtSums(s)` Signature: s:Sums -> float	Calculate kurtosis from `Sums`; requires `moment=4`
`movingMinMaxHelper winSize cmp s` Signature: winSize:int -> cmp:(float -> float -> bool) -> s:seq<OptionalValue<float>> -> float []	O(n) moving min/max calculator Keeps double-ended queue of values sorted acording to the specified order, such that the front is the min/max value. During the iteration, new value is added to the end (and all values that are greater/smaller than the new value are removed before it is appended).
`movingWindowFn(...)` Signature: winSize:int -> finit:('?689706 [] -> '?689707) -> fupdate:('?689707 -> '?689706 -> '?689706 -> '?689707) -> ftransf:('?689707 -> float) -> source:seq<'?689706> -> seq<float> Type parameters: '?689706, '?689707	Helper for moving window calculations (adopted from `Seq.windowed` in F# code base) When calling `finit`, we do not copy the array - this is fine, because the function is internal (and the only use in `applyMovingSumsTransform` is correct) Parameters `winSize` - The size of the window to create `finit` takes the first fully populated window array to an initial state `fupdate` takes the current state, incoming observation, and out-going observation to the next state `ftransf` takes the current state to the current output
`quickSelectInplace n arr` Signature: n:int -> arr:float [] -> float	Returns the nth smallest element from the specified array. (QuickSelect implementation based on: http://en.wikipedia.org/wiki/Quickselect)
`skewSums(s)` Signature: s:Sums -> float	Calculate skewness from `Sums`; requires `moment=3`
`toFloat(arg00)` Signature: arg00:obj -> float
`trySeriesExtreme f series` Signature: f:('V -> 'V -> 'V) -> series:Series<'K,'V> -> 'V option Type parameters: 'V, 'K	Calculates minimum or maximum using the specified function 'f' Returns None when there are no values or Some.
`updateMoments state x` Signature: state:Moments -> x:float -> Moments	Updates the moments using the Knuth/Welford algorithm for online stats updating (See: http://en.wikipedia.org/wiki/Algorithms_for_calculating_variance#Online_algorithm)
`updateMomentsSparse state curr` Signature: state:Moments -> curr:float opt -> Moments	Updates the moments using `updateMoments`, but skips over missing values
`updateSumsDense moment state curr outg` Signature: moment:int -> state:Sums -> curr:float -> outg:float -> Sums	Given an existing `state` of type `Sums`, new incoming element and an old outgoing element, update the sums value (only required elements of `Sums` are calculated based on `moment`)
`updateSumsSparse moment state curr outg` Signature: moment:int -> state:Sums -> curr:float opt -> outg:float opt -> Sums	Update `Sums` value using `updateSumsDense`, but handle the case when removing/adding value that is missing (`OptionalValue.Missing`)
`valuesAllOpt(series)` Signature: series:Series<'?689751,'?689752> -> OptionalValue<'?689752> [] Type parameters: '?689751, '?689752	Returns all values of a series as an array of `OptionalValue`s
`varianceSums(s)` Signature: s:Sums -> float	Calculate variance from `Sums`; requires `moment=2`

Deedle

StatsInternal

Nested types and modules

Functions and values

Parameters

Parameters