stats.hpp

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#pragma once
 
#include <algorithm>
#include <cstdint>
 
namespace quant::stats {
 
struct Welford {
    std::uint64_t count{0};
    double mean{0.0};
    double m2{0.0};
 
    inline void add(double value) {
        ++count;
        const double delta = value - mean;
        mean += delta / static_cast<double>(count);
        const double delta2 = value - mean;
        m2 += delta * delta2;
    }
 
    inline void merge(const Welford& other) {
        if (other.count == 0)
            return;
        if (count == 0) {
            *this = other;
            return;
        }
        const double total = static_cast<double>(count + other.count);
        const double delta = other.mean - mean;
        mean += delta * static_cast<double>(other.count) / total;
        m2 += other.m2 + delta * delta * (static_cast<double>(count) * other.count / total);
        count += other.count;
    }
 
    inline double variance() const { return (count > 1) ? m2 / static_cast<double>(count - 1) : 0.0; }
};
 
} // namespace quant::stats