Module Math_utils.Statistics

Statistical functions optimized for financial data

type streaming_stats
val create_streaming_stats : unit -> streaming_stats
val update_streaming_stats : streaming_stats -> float -> unit
val get_variance : streaming_stats -> float
val get_std_dev : streaming_stats -> float
type moving_average
val create_moving_average : int -> moving_average
val update_moving_average : moving_average -> float -> float
type ema
val create_ema : period:int -> ema
val update_ema : ema -> float -> float
type percentile_tracker
val create_percentile_tracker : int -> percentile_tracker
val update_percentile_tracker : percentile_tracker -> float -> unit
val get_percentile : percentile_tracker -> float -> float