On this page:
8.1 Mean, Standard Deviation, and Variance
mean
variance
standard-deviation
variance-with-fixed-mean
standard-deviation-with-fixed-mean
8.2 Absolute Deviation
absolute-deviation
8.3 Higher Moments (Skewness and Kurtosis)
skew
kurtosis
8.4 Autocorrelation
lag-1-autocorrelation
8.5 Covariance
covariance
covariance-with-fixed-means
8.6 Weighted Samples
weighted-mean
weighted-variance
weighted-standard-deviation
weighted-variance-with-fixed-mean
weighted-standard-deviation-with-fixed-mean
weighted-absolute-deviation
weighted-skew
weighted-kurtosis
8.7 Maximum and Minimum
maximum
minimum
minimum-maximum
maximum-index
minimum-index
minimum-maximum-index
8.8 Median and Percentiles
median-from-sorted-data
percentile-from-sorted-data
8.9 Statistics Example
Version: 4.1.1

8 Statistics

    8.1 Mean, Standard Deviation, and Variance

    8.2 Absolute Deviation

    8.3 Higher Moments (Skewness and Kurtosis)

    8.4 Autocorrelation

    8.5 Covariance

    8.6 Weighted Samples

    8.7 Maximum and Minimum

    8.8 Median and Percentiles

    8.9 Statistics Example

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

The functions described in this chapter are defined in the "statistics.ss" file in the science collection and are made available using the form:

 (require (planet williams/science/statistics))

8.1 Mean, Standard Deviation, and Variance

(mean data)  real?

  data : (vectorof real?)

Returns the arithmetic mean of "data".

(variance data mu)  (>=/c 0.0)

  data : (vectorof real?)

  mu : real?

(variance data)  (>=/c 0.0)

  data : (vectorof real?)

Returns the sample variance of data. If mu is not provided, it is calculated by a call to (mean data).

(standard-deviation data mu)  (>=/c 0.0)

  data : (vectorof real?)

  mu : real?

(standard-deviation data)  (>=/c 0.0)

  data : (vectorof real?)

Returns the standard deviation of data. The standard deviation is defined as the square root of the variance. The result is the square root of the corresponding variance function.

(variance-with-fixed-mean data mu)  (>=/c 0.0)

  data : (vectorof real?)

  mu : real?

Returns an unbiased estimate of the variance of data when the population mean mu of the underlying distribution is known a priori.

(standard-deviation-with-fixed-mean

 

data

 

 

 

 

 

 

mu)

 

 

(>=/c 0.0)

  data : (vectorof real?)

  mu : real?

Returns the standard deviation of data with a fixed population mean mu. The result is the square root of the variance-with-fixed-mean function.

8.2 Absolute Deviation

(absolute-deviation data mu)  (>=/c 0.0)

  data : (vectorof real?)

  mu : real?

(absolute-deviation data)  (>=/c 0.0)

  data : (vectorof real?)

Returns the absolute devistion of data relative to the given value of the mean mu. If mu is not provided, it is calculated by a call to (mean data). This function is also useful if you want to calculate the absolute deviation to any value other than the mean, such as zero or the median.

8.3 Higher Moments (Skewness and Kurtosis)

(skew data mu sigma)  real?

  data : (vectorof real?)

  mu : real?

  sigma : (>=/c 0.0)

(skew data)  real?

  data : (vectorof real?)

Returns the skewness of data using the given values of the mean mu and standard deviation sigma. The skewness measures the symmetry of the tails of a distribution. If mu and sigma are not provided, they are calculated by calls to (mean data) and (standard-deviation data mu).

(kurtosis data mu sigma)  real?

  data : (vectorof real?)

  mu : real?

  sigma : (>=/c 0.0)

(kurtosis data)  real?

  data : (vectorof real?)

Returns the kurtosis of data using the given values of the mean mu and standard deviation sigma. The kurtosis measures how sharply peaked a distribution is relative to its width. If mu and sigma are not provided, they are calculated by calls to (mean data) and (standard-deviation data mu).

8.4 Autocorrelation

(lag-1-autocorrelation data mu sigma)  real?

  

data

 

:

 

(and/c (vectorof real?)

       (lambda (x)

         (> (vector-length data) 0)))

  mu : real?

  sigma : (>=/c 0.0)

(lag-1-autocorrelation data)  real?

  

data

 

:

 

(and/c (vectorof real?)

       (lambda (x)

         (> (vector-length data) 0)))

Returns the lag-1 autocorrelation of data using the given value of the mean mu. If mu is not provided, it is calculated by a call to (mean data).

8.5 Covariance

(covariance data1 data2 mu1 mu2)  real?

  data1 : (vectorof real?)

  

data2

 

:

 

(and/c (vectorof real?)

       (lambda (x)

         (= (vector-length data1)

            (vector-length data2))))

  mu1 : real?

  mu2 : real?

(covariance data1 data2)  real?

  data1 : (vectorof real?)

  

data2

 

:

 

(and/c (vectorof real?)

       (lambda (x)

         (= (vector-length data1)

            (vector-length data2))))

Returns the covariance of data1 and data2, which must both be the same length, using the given values of mu1 and mu2. If the values of mu1 and mu2 are not given, they are calculated using calls to (mean data1) and (mean data2), respectively.

(covariance-with-fixed-means

 

data1

 

 

 

 

 

 

data2

 

 

 

 

 

 

mu1

 

 

 

 

 

 

mu2)

 

 

real?

  data1 : (vectorof real?)

  

data2

 

:

 

(and/c (vectorof real?)

       (lambda (x)

         (= (vector-length data1)

            (vector-length data2))))

  mu1 : real?

  mu2 : real?

Returns the covariance of data1 and data2, which must both be the same length, when the population means mu1 and mu2 of the underlying distributions are known a priori.

8.6 Weighted Samples

(weighted-mean w data)  real?

  w : (vectorof real?)

  

data

 

:

 

(and/c (vectorof real?)

       (lambda (x)

         (= (vector-length w)

            (vector-length data))))

Returns the weighted mean of data using weights w.

(weighted-variance w data wmu)  (>=/c 0.0)

  w : (vectorof real?)

  

data

 

:

 

(and/c (vectorof real?)

       (lambda (x)

         (= (vector-length w)

            (vector-length data))))

  wmu : real?

(weighted-variance w data)  (>=/c 0.0)

  w : (vectorof real?)

  

data

 

:

 

(and/c (vectorof real?)

       (lambda (x)

         (= (vector-length w)

            (vector-length data))))

Returns the weighted variance of data using weights w and the given weighted mean wmu. If wmu is not provided, it is calculated by a call ro (weighted-mean w data).

(weighted-standard-deviation w data wmu)  (>=/c 0.0)

  w : (vectorof real?)

  

data

 

:

 

(and/c (vectorof real?)

       (lambda (x)

         (= (vector-length w)

            (vector-length data))))

  wmu : real?

(weighted-standard-deviation w data)  (>=/c 0.0)

  w : (vectorof real?)

  

data

 

:

 

(and/c (vectorof real?)

       (lambda (x)

         (= (vector-length w)

            (vector-length data))))

Returns the weighted standard deviation of data using weights w. The standard deviation is defined as the square root of the variance. The result is the square root of the corresponding weighted-variance function.

(weighted-variance-with-fixed-mean

 

w

 

 

 

 

 

 

data

 

 

 

 

 

 

wmu)

 

 

(>=/c 0.0)

  w : (vectorof real?)

  

data

 

:

 

(and/c (vectorof real?)

       (lambda (x)

         (= (vector-length w)

            (vector-length data))))

  wmu : real?

Returns an unbiased estimate of the weighted variance of data using weights w when the weighted population mean wmu of the underlying population is known a priori.

(weighted-standard-deviation-with-fixed-mean

 

w

 

 

 

 

 

 

data

 

 

 

 

 

 

wmu)

 

 

(>=/c 0.0)

  w : (vectorof real?)

  

data

 

:

 

(and/c (vectorof real?)

       (lambda (x)

         (= (vector-length w)

            (vector-length data))))

  wmu : real?

Returns the weighted standard deviation of data using weights w with a fixed population mean mu. The result is the square root of the weighted-variance-with-fixed-mean function.

(weighted-absolute-deviation w data wmu)  (>=/c 0.0)

  w : (vectorof real?)

  

data

 

:

 

(and/c (vectorof real?)

       (lambda (x)

         (= (vector-length w)

            (vector-length data))))

  wmu : real?

(weighted-absolute-deviation w data)  (>=/c 0.0)

  w : (vectorof real?)

  

data

 

:

 

(and/c (vectorof real?)

       (lambda (x)

         (= (vector-length w)

            (vector-length data))))

Returns the weighted absolute devistion of data using weights w relative to the given value of the weighted mean wmu. If wmu is not provided, it is calculated by a call to (weighted-mean w data). This function is also useful if you want to calculate the weighted absolute deviation to any value other than the mean, such as zero or the weighted median.

(weighted-skew w data wmu wsigma)  (>=/c 0.0)

  w : (vectorof real?)

  

data

 

:

 

(and/c (vectorof real?)

       (lambda (x)

         (= (vector-length w)

            (vector-length data))))

  wmu : real?

  wsigma : (>=/c 0.0)

(weighted-skew w data)  (>=/c 0.0)

  w : (vectorof real?)

  

data

 

:

 

(and/c (vectorof real?)

       (lambda (x)

         (= (vector-length w)

            (vector-length data))))

Returns the weighted skewness of data using weights w using the given values of the weighted mean wmu and weighted standard deviation wsigma. The skewness measures the symmetry of the tails of a distribution. If wmu and wsigma are not provided, they are calculated by calls to (weighted-mean w data) and (weighted-standard-deviation w data wmu).

(weighted-kurtosis w data wmu wsigma)  (>=/c 0.0)

  w : (vectorof real?)

  

data

 

:

 

(and/c (vectorof real?)

       (lambda (x)

         (= (vector-length w)

            (vector-length data))))

  wmu : real?

  wsigma : (>=/c 0.0)

(weighted-kurtosis w data)  (>=/c 0.0)

  w : (vectorof real?)

  

data

 

:

 

(and/c (vectorof real?)

       (lambda (x)

         (= (vector-length w)

            (vector-length data))))

Returns the weighted kurtosis of data using weights w using the given values of the weighted mean wmu and weighted standard deviation wsigma. The kurtosis measures how sharply peaked a distribution is relative to its width. If wmu and wsigma are not provided, they are calculated by calls to (weighted-mean w data) and (weighted-standard-deviation w data wmu).

8.7 Maximum and Minimum

(maximum data)  real?

  

data

 

:

 

(and/c (vectorof real?)

       (lambda (x)

         (> (vector-length data) 0)))

Returns the maximum value in data.

(minimum data)  real?

  

data

 

:

 

(and/c (vectorof real?)

       (lambda (x)

         (> (vector-length data) 0)))

Returns the minimum value in data.

(minimum-maximum data)

 

 

real?

 

real?

  

data

 

:

 

(and/c (vectorof real?)

       (lambda (x)

         (> (vector-length data) 0)))

Returns the minimum and maximum values on data as multiple values.

(maximum-index data)  natural-number/c

  

data

 

:

 

(and/c (vectorof real?)

       (lambda (x)

         (> (vector-length data) 0)))

Returns the index of the maximum value in data. When there are several equal maximum elements, the index of the first one is chosen.

(minimum-index data)  natural-number/c

  

data

 

:

 

(and/c (vectorof real?)

       (lambda (x)

         (> (vector-length data) 0)))

Returns the index of the minimum value in data. When there are several equal minimum elements, the index of the first one is chosen.

(minimum-maximum-index data)

 

 

natural-number/c

 

natural-number/c

  

data

 

:

 

(and/c (vectorof real?)

       (lambda (x)

         (> (vector-length data) 0)))

Returns the indices of the minimum and maximum values in data as multiple values. When there are several equal minimum or maximum elements, the index of the first ones are chosen.

8.8 Median and Percentiles

Thw median and percentile functions described in this section operate on sorted data. The contracts for these functions enforce this. Also, for convenience we use quantiles measured on a scale of 0 to 1 instead of percentiled, which ise a scale of 0 to 100).

(median-from-sorted-data sorted-data)  real?

  

sorted-data

 

:

 

(and/c (vectorof real?)

       (lambda (x)

         (> (vector-length sorted-data) 0))

       sorted?)

Returns the median value of sorted-data. When the dataset has an odd number of elements, the median is the value of element (n - 1)/2. When the dataset has an even number of elements, the median is the mean of the two nearest middle values, elements (n - 1)/2 and n/2.

(percentile-from-sorted-data sorted-data f)  real?

  

sorted-data

 

:

 

(and/c (vectorof real?)

       (lambda (x)

         (> (vector-length sorted-data) 0))

       sorted?)

  f : (real-in 0.0 1.0)

Returns a quantile value of sorted-data. The quantile is determined by the value f, a fraction between 0 and 1. For example to compute the 75th percentile, f should have the value 0.75.

The quantile is found by interpolation using the formula:

quantile = 1 - delta(x[i]) + delta(x(i + 1))

where i is floor((n - 1) × f) and delta is (n - 1) × f - 1.

8.9 Statistics Example

This example generates two vectors from a unit Gaussian distribution and a vector of conse squared weighting data. All of the vectors are of length 1,000. Thes data are used to test all of the statistics functions.

  #lang scheme

  (require (planet williams/science/random-distributions/gaussian)

           (planet williams/science/statistics)

           (planet williams/science/math))

  

  (define (naive-sort! data)

    (let loop ()

      (let ((n (vector-length data))

            (sorted? #t))

        (do ((i 1 (+ i 1)))

            ((= i n) data)

          (when (< (vector-ref data i)

                   (vector-ref data (- i 1)))

            (let ((t (vector-ref data i)))

              (vector-set! data i (vector-ref data (- i 1)))

              (vector-set! data (- i 1) t)

              (set! sorted? #f))))

        (unless sorted?

          (loop)))))

  

  (let ((data1 (make-vector 1000))

        (data2 (make-vector 1000))

        (w     (make-vector 1000)))

    (do ((i 0 (+ i 1)))

        ((= i 1000) (void))

  

      (vector-set! data1 i (random-unit-gaussian))

      (vector-set! data2 i (random-unit-gaussian))

  

      (vector-set! w i

        (expt (cos (- (* 2.0 pi (/ i 1000.0)) pi)) 2)))

    (printf "Statistics Example~n")

    (printf "                                mean = ~a~n"

            (mean data1))

    (printf "                            variance = ~a~n"

            (variance data1))

    (printf "                  standard deviation = ~a~n"

            (standard-deviation data1))

    (printf "                   variance from 0.0 = ~a~n"

            (variance-with-fixed-mean data1 0.0))

    (printf "         standard deviation from 0.0 = ~a~n"

            (standard-deviation-with-fixed-mean data1 0.0))

    (printf "                  absolute deviation = ~a~n"

            (absolute-deviation data1))

    (printf "         absolute deviation from 0.0 = ~a~n"

            (absolute-deviation data1 0.0))

    (printf "                                skew = ~a~n"

            (skew data1))

    (printf "                            kurtosis = ~a~n"

            (kurtosis data1))

    (printf "               lag-1 autocorrelation = ~a~n"

            (lag-1-autocorrelation data1))

    (printf "                          covariance = ~a~n"

            (covariance data1 data2))

    (printf "                       weighted mean = ~a~n"

            (weighted-mean w data1))

    (printf "                   weighted variance = ~a~n"

            (weighted-variance w data1))

    (printf "         weighted standard deviation = ~a~n"

            (weighted-standard-deviation w data1))

    (printf "          weighted variance from 0.0 = ~a~n"

            (weighted-variance-with-fixed-mean w data1 0.0))

    (printf "weighted standard deviation from 0.0 = ~a~n"

            (weighted-standard-deviation-with-fixed-mean w data1 0.0))

    (printf "         weighted absolute deviation = ~a~n"

            (weighted-absolute-deviation w data1))

    (printf "weighted absolute deviation from 0.0 = ~a~n"

            (weighted-absolute-deviation w data1 0.0))

    (printf "                       weighted skew = ~a~n"

            (weighted-skew w data1))

    (printf "                   weighted kurtosis = ~a~n"

            (weighted-kurtosis w data1))

    (printf "                             maximum = ~a~n"

            (maximum data1))

    (printf "                             minimum = ~a~n"

            (minimum data1))

    (printf "              index of maximum value = ~a~n"

            (maximum-index data1))

    (printf "              index of minimum value = ~a~n"

            (minimum-index data1))

    (naive-sort! data1)

    (printf "                              median = ~a~n"

            (median-from-sorted-data data1))

    (printf "                        10% quantile = ~a~n"

            (quantile-from-sorted-data data1 0.1))

    (printf "                        20% quantile = ~a~n"

            (quantile-from-sorted-data data1 0.2))

    (printf "                        30% quantile = ~a~n"

            (quantile-from-sorted-data data1 0.3))

    (printf "                        40% quantile = ~a~n"

            (quantile-from-sorted-data data1 0.4))

    (printf "                        50% quantile = ~a~n"

            (quantile-from-sorted-data data1 0.5))

    (printf "                        60% quantile = ~a~n"

            (quantile-from-sorted-data data1 0.6))

    (printf "                        70% quantile = ~a~n"

            (quantile-from-sorted-data data1 0.7))

    (printf "                        80% quantile = ~a~n"

            (quantile-from-sorted-data data1 0.8))

    (printf "                        90% quantile = ~a~n"

            (quantile-from-sorted-data data1 0.9)))

Produces the following output:

Statistics Example

                                mean = 0.03457693091555611

                            variance = 1.0285343857083422

                  standard deviation = 1.0141668431320077

                   variance from 0.0 = 1.028701415474174

         standard deviation from 0.0 = 1.014249188056946

                  absolute deviation = 0.7987180852601665

         absolute deviation from 0.0 = 0.7987898146946209

                                skew = 0.043402934671178436

                            kurtosis = 0.17722452271704014

               lag-1 autocorrelation = 0.0029930889831972143

                          covariance = 0.005782911085590894

                       weighted mean = 0.05096139259270008

                   weighted variance = 1.0500293763787367

         weighted standard deviation = 1.0247094107007786

          weighted variance from 0.0 = 1.0510513958491579

weighted standard deviation from 0.0 = 1.0252079768755011

         weighted absolute deviation = 0.8054378524718832

weighted absolute deviation from 0.0 = 0.8052440544958938

                       weighted skew = 0.046448729539282155

                   weighted kurtosis = 0.3050060704791675

                             maximum = 3.731148814104969

                             minimum = -3.327265864298485

              index of maximum value = 502

              index of minimum value = 476

                              median = 0.019281803306206644

                        10% quantile = -1.243869878615807

                        20% quantile = -0.7816243947573505

                        30% quantile = -0.4708703241429585

                        40% quantile = -0.2299309332835332

                        50% quantile = 0.019281803306206644

                        60% quantile = 0.30022966479982344

                        70% quantile = 0.5317978807508836

                        80% quantile = 0.832291888537874

                        90% quantile = 1.3061151234700463