Statistics.Sample.Powers

statistics-0.13.3.0: A library of statistical types, data, and functions

Copyright | (c) 2009, 2010 Bryan O'Sullivan
License | BSD3
Maintainer | bos@serpentine.com
Stability | experimental
Portability | portable
Safe Haskell | None
Language | Haskell98

Statistics.Sample.Powers

Contents

- Types
- Constructor
- Descriptive functions
- Statistics of location
- Statistics of dispersion
- Functions over central moments
- References

Description

Very fast statistics over simple powers of a sample. These can all be computed efficiently in just a single pass over a sample, with that pass subject to stream fusion.

The tradeoff is that some of these functions are less numerically robust than their counterparts in the `Sample` module. Where this is the case, the alternatives are noted.

Synopsis

- data Powers
- powers :: Vector v Double => Int -> v Double -> Powers
- order :: Powers -> Int
- count :: Powers -> Int
- sum :: Powers -> Double
- mean :: Powers -> Double
- variance :: Powers -> Double
- stdDev :: Powers -> Double
- varianceUnbiased :: Powers -> Double
- centralMoment :: Int -> Powers -> Double
- skewness :: Powers -> Double
- kurtosis :: Powers -> Double

# Types

data Powers #

Instances

Eq Powers # |
Methods (==) :: Powers -> Powers -> Bool # (/=) :: Powers -> Powers -> Bool #
Data Powers # |
Methods gfoldl :: (forall d b. Data d => c (d -> b) -> d -> c b) -> (forall g. g -> c g) -> Powers -> c Powers # gunfold :: (forall b r. Data b => c (b -> r) -> c r) -> (forall r. r -> c r) -> Constr -> c Powers # toConstr :: Powers -> Constr # dataTypeOf :: Powers -> DataType # dataCast1 :: Typeable (* -> *) t => (forall d. Data d => c (t d)) -> Maybe (c Powers) # dataCast2 :: Typeable (* -> * -> *) t => (forall d e. (Data d, Data e) => c (t d e)) -> Maybe (c Powers) # gmapT :: (forall b. Data b => b -> b) -> Powers -> Powers # gmapQl :: (r -> r' -> r) -> r -> (forall d. Data d => d -> r') -> Powers -> r # gmapQr :: (r' -> r -> r) -> r -> (forall d. Data d => d -> r') -> Powers -> r # gmapQ :: (forall d. Data d => d -> u) -> Powers -> [u] # gmapQi :: Int -> (forall d. Data d => d -> u) -> Powers -> u # gmapM :: Monad m => (forall d. Data d => d -> m d) -> Powers -> m Powers # gmapMp :: MonadPlus m => (forall d. Data d => d -> m d) -> Powers -> m Powers # gmapMo :: MonadPlus m => (forall d. Data d => d -> m d) -> Powers -> m Powers #
Read Powers # |
Methods readsPrec :: Int -> ReadS Powers # readList :: ReadS [Powers] # readPrec :: ReadPrec Powers # readListPrec :: ReadPrec [Powers] #
Show Powers # |
Methods showsPrec :: Int -> Powers -> ShowS # show :: Powers -> String # showList :: [Powers] -> ShowS #
Generic Powers # |
Associated Types type Rep Powers :: * -> * # Methods from :: Powers -> Rep Powers x # to :: Rep Powers x -> Powers #
FromJSON Powers # |
Methods parseJSON :: Value -> Parser Powers # parseJSONList :: Value -> Parser [Powers] #
ToJSON Powers # |
Methods toJSON :: Powers -> Value # toEncoding :: Powers -> Encoding # toJSONList :: [Powers] -> Value # toEncodingList :: [Powers] -> Encoding #
Binary Powers # |
Methods put :: Powers -> Put # get :: Get Powers # putList :: [Powers] -> Put #
type Rep Powers # |
type Rep Powers = D1 (MetaData "Powers" "Statistics.Sample.Powers" "statistics-0.13.3.0-A6M5lvDj6Zg1bzI7OU7tSj" True) (C1 (MetaCons "Powers" PrefixI False) (S1 (MetaSel (Nothing Symbol) NoSourceUnpackedness NoSourceStrictness DecidedLazy) (Rec0 (Vector Double))))

# Constructor

powers #

Arguments

:: Vector v Double |
=> Int | n, the number of powers, where n >= 2.
-> v Double |
-> Powers |

O(n) Collect the n simple powers of a sample.

Functions computed over a sample's simple powers require at least a certain number (or order) of powers to be collected.

- To compute the kth `centralMoment`, at least k simple powers must be collected.
- For the `variance`, at least 2 simple powers are needed.
- For `skewness`, we need at least 3 simple powers.
- For `kurtosis`, at least 4 simple powers are required.

This function is subject to stream fusion.

# Descriptive functions

order :: Powers -> Int #

The order (number) of simple powers collected from a `sample`.

count :: Powers -> Int #

The number of elements in the original `Sample`. This is the sample's zeroth simple power.

sum :: Powers -> Double #

The sum of elements in the original `Sample`. This is the sample's first simple power.

# Statistics of location

mean :: Powers -> Double #

The arithmetic mean of elements in the original `Sample`.

This is less numerically robust than the mean function in the `Sample` module, but the number is essentially free to compute if you have already collected a sample's simple powers.

# Statistics of dispersion

variance :: Powers -> Double #

Maximum likelihood estimate of a sample's variance. Also known as the population variance, where the denominator is n. This is the second central moment of the sample.

This is less numerically robust than the variance function in the `Sample` module, but the number is essentially free to compute if you have already collected a sample's simple powers.

Requires `Powers` with `order` at least 2.

stdDev :: Powers -> Double #

Standard deviation. This is simply the square root of the maximum likelihood estimate of the variance.

varianceUnbiased :: Powers -> Double #

Unbiased estimate of a sample's variance. Also known as the sample variance, where the denominator is n-1.

Requires `Powers` with `order` at least 2.

# Functions over central moments

centralMoment :: Int -> Powers -> Double #

Compute the kth central moment of a sample. The central moment is also known as the moment about the mean.

skewness :: Powers -> Double #

Compute the skewness of a sample. This is a measure of the asymmetry of its distribution.

A sample with negative skew is said to be left-skewed. Most of its mass is on the right of the distribution, with the tail on the left.

    skewness . powers 3 $ U.to [1,100,101,102,103]
    ==> -1.497681449918257

A sample with positive skew is said to be right-skewed.

    skewness . powers 3 $ U.to [1,2,3,4,100]
    ==> 1.4975367033335198

A sample's skewness is not defined if its `variance` is zero.

Requires `Powers` with `order` at least 3.

kurtosis :: Powers -> Double #

Compute the excess kurtosis of a sample. This is a measure of the "peakedness" of its distribution. A high kurtosis indicates that the sample's variance is due more to infrequent severe deviations than to frequent modest deviations.

A sample's excess kurtosis is not defined if its `variance` is zero.

Requires `Powers` with `order` at least 4.

# References

- Besset, D.H. (2000) Elements of statistics. Object-oriented implementation of numerical methods ch. 9, pp. 311–331. http://www.elsevier.com/wps/product/cws_home/677916
- Anderson, G. (2009) Compute kth central moments in one pass. quantblog. http://quantblog.wordpress.com/2009/02/07/compute-kth-central-moments-in-one-pass/