File Exchange

image thumbnail

Cumulative Mean and Variance

version 1.0.0.0 (1.79 KB) by Sumedh Joshi
Computes cumulative the mean/variance of a vector X along an arbitrary dimension

2 Downloads

Updated 26 Feb 2010

View License

>> Y = cummean(X,DIM);
if X is MxN, Y is also MxN. To illustrate the functionality, lets assume X is a 1xN vector. Then, Y is a 1xN vector where the n-th entry in Y is given by mean(X(1:n)). So, Y(end) = mean(X), and Y(1) = X(1). cumvar works in the same way, and this can be done on an arbitrary dimensional X along dimension DIM. See screenshot for an example.

These functions are useful (at least to me) for determining how many iterations of a process are required until the mean and variance of the process are stable (ie: not changing with increasing iterations). Maybe useful to people doing Markhov chain stuff?

Cite As

Sumedh Joshi (2020). Cumulative Mean and Variance (https://www.mathworks.com/matlabcentral/fileexchange/26791-cumulative-mean-and-variance), MATLAB Central File Exchange. Retrieved .

Comments and Ratings (2)

Oleg,

I was not aware of bsxfun when I coded this; you're right that for loops and fevals are an inefficient way to solve this problem.

Thanks for the learning experience,
Sumedh

No H1 line, poorly commented, help can be improved.
Uses eval and loops (really bad) for something that can be achieved as:

% Inputs
dim = 2;
X = rand(100,5);
cumcount = 1:size(X,dim);
if dim == 1
cumcount = cumcount.';
end

cummean = bsxfun(@rdivide, cumsum(X,dim), cumcount);
cumvar = bsxfun(@rdivide, cumsum(X.^2,dim), cumcount) -cummean.^2;

Oleg

MATLAB Release Compatibility
Created with R2007b
Compatible with any release
Platform Compatibility
Windows macOS Linux