whylabs/whylogs-python

package com.whylogs.core.metrics;

import lombok.Getter;
import lombok.RequiredArgsConstructor;

@RequiredArgsConstructor
@Getter
public class VarianceM2Result {
  private final double n;
  private final double mean;
  private final double m2;

  public static VarianceM2Result parallelVarianceM2(
      VarianceM2Result first, VarianceM2Result second) {
    double n = first.getN() + second.getN();
    double delta = second.getMean() - first.getMean();
    double mean = (first.getMean() * first.getN() + second.getMean() * second.getN()) / n;
    double m2 =
        first.getM2() + second.getM2() + Math.pow(delta, 2) * first.getN() * second.getN() / n;

    return new VarianceM2Result(n, mean, m2);
  }

  public static VarianceM2Result welfordOnlineVarianceM2(
      VarianceM2Result existing, double new_value) {
    double n = existing.getN() + 1;
    double delta = new_value - existing.getMean();
    double mean = existing.getMean() + delta / n;
    double delta2 = new_value - mean;
    double m2 = existing.getM2() + delta * delta2;

    return new VarianceM2Result(n, mean, m2);
  }
}