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;
}