Statistics

This chapter describes the statistical functions in the library. The basic statistical functions include routines to compute the mean, variance and standard deviation. More advanced functions allow you to calculate absolute deviations, skewness, and kurtosis as well as the median and arbitrary percentiles. The algorithms use recurrence relations to compute average quantities in a stable way, without large intermediate values that might overflow.

• Mean, Standard Deviation and Variance
• Absolute deviation
• Higher moments (skewness and kurtosis)
• Autocorrelation
• Covariance
• Correlation
• Maximum and Minimum values
• Median and Percentiles
• Order Statistics
• Robust Location Estimates
  • Trimmed Mean
  • Gastwirth Estimator
• Robust Scale Estimates
  • Median Absolute Deviation (MAD)
  • \(S_n\) Statistic
  • \(Q_n\) Statistic
• References and Further Reading

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References and Further Reading

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Mean, Standard Deviation and Variance