incrmmse

Compute a moving mean squared error (MSE) incrementally.

For a window of size W, the mean squared error is defined as

Installation

npm install @stdlib/stats-incr-mmse

Usage

var incrmmse = require( '@stdlib/stats-incr-mmse' );

incrmmse( window )

Returns an accumulator function which incrementally computes a moving mean squared error. The window parameter defines the number of values over which to compute the moving mean squared error.

var accumulator = incrmmse( 3 );

accumulator( [x, y] )

If provided input values x and y, the accumulator function returns an updated mean squared error. If not provided input values x and y, the accumulator function returns the current mean squared error.

var accumulator = incrmmse( 3 );

var m = accumulator();
// returns null

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

m = accumulator( -1.0, 4.0 ); // [(2.0,3.0), (-1.0,4.0)]
// returns 13.0

m = accumulator( 3.0, 9.0 ); // [(2.0,3.0), (-1.0,4.0), (3.0,9.0)]
// returns ~20.67

// Window begins sliding...
m = accumulator( -7.0, 3.0 ); // [(-1.0,4.0), (3.0,9.0), (-7.0,3.0)]
// returns ~53.67

m = accumulator( -5.0, -3.0 ); // [(3.0,9.0), (-7.0,3.0), (-5.0,-3.0)]
// returns ~46.67

m = accumulator();
// returns ~46.67

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 incrmmse = require( '@stdlib/stats-incr-mmse' );

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

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

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

See Also

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

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

License

See LICENSE.

Copyright

Copyright © 2016-2024. The Stdlib Authors.