RWStats

RWStats is a template header-only C++ library that provides fast and efficient computation of rolling windowed statistics for time-series data. Available statistics are:

• mean
• variance
• standard deviation

The implemented algorithm is suitable for most applications, in particular online and real-time ones.

#include<rw_stats.h>
using namespace RWStats;
int main(int argc, char *argv[]) {
 
 size_t window_size = 100;
 RollingWindowedStats<double> rw_stats(window_size);
 
 rw_stats.push_back(0.4);
 rw_stats.push_back(1.5);
 double mean = rw_stats.mean();
 
 return 0;
}