@stdlib/stats-incr-mrss

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incrmrss

Compute a moving residual sum of squares (RSS) incrementally.

For a window of size W, the residual sum of squares (also referred to as the sum of squared residuals (SSR) and the sum of squared errors (SSE)) is defined as

Installation

npm install @stdlib/stats-incr-mrss

Usage

var incrmrss = require( '@stdlib/stats-incr-mrss' );

incrmrss( window )

Returns an accumulator function which incrementally computes a moving residual sum of squares. The window parameter defines the number of values over which to compute the moving residual sum of squares.

var accumulator = incrmrss( 3 );

accumulator( [x, y] )

If provided input values x and y, the accumulator function returns an updated residual sum of squares. If not provided input values x and y, the accumulator function returns the current residual sum of squares.

var accumulator = incrmrss( 3 );

var r = accumulator();
// returns null

// Fill the window...
r = accumulator( 2.0, 3.0 ); // [(2.0,3.0)]
// returns 1.0

r = accumulator( -1.0, 4.0 ); // [(2.0,3.0), (-1.0,4.0)]
// returns 26.0

r = accumulator( 3.0, 9.0 ); // [(2.0,3.0), (-1.0,4.0), (3.0,9.0)]
// returns 62.0

// Window begins sliding...
r = accumulator( -7.0, 3.0 ); // [(-1.0,4.0), (3.0,9.0), (-7.0,3.0)]
// returns 161.0

r = accumulator( -5.0, -3.0 ); // [(3.0,9.0), (-7.0,3.0), (-5.0,-3.0)]
// returns 140.0

r = accumulator();
// returns 140.0

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 at least W-1 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.
• As W (x,y) pairs are needed to fill the window buffer, the first W-1 returned values are calculated from smaller sample sizes. Until the window is full, each returned value is calculated from all provided values.

Examples

var randu = require( '@stdlib/random-base-randu' );
var incrmrss = require( '@stdlib/stats-incr-mrss' );

var accumulator;
var v1;
var v2;
var i;

// Initialize an accumulator:
accumulator = incrmrss( 5 );

// For each simulated datum, update the moving residual sum of squares...
for ( i = 0; i < 100; i++ ) {
    v1 = ( randu()*100.0 ) - 50.0;
    v2 = ( randu()*100.0 ) - 50.0;
    accumulator( v1, v2 );
}
console.log( accumulator() );

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See Also

• @stdlib/stats-incr/rss: compute the residual sum of squares (RSS) incrementally.
• @stdlib/stats-incr/mmse: compute a moving mean squared error (MSE) incrementally.
• @stdlib/stats-incr/mrmse: compute a moving root mean squared error (RMSE) incrementally.

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Notice

This package is part of 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, see the main project repository.

Community

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License

See LICENSE.

Copyright

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