StdDev - RTTA

Summary

StdDev is RTTA's streaming implementation of: Rolling standard deviation.

Update API

result = rtta.StdDev(window=5).update(value)

The update(...) call consumes one observation using value. advance(...) uses the same inputs when the caller wants to update state without materializing a Python return value.

Theory Of Operation

StdDev implements the streaming form of Rolling standard deviation. Each update(...) call consumes exactly one new observation tuple and advances the internal state before returning the current value or result struct.

Recurrence

Let \(z_t = value_t\) denote the observation consumed by one update(...) call and let \(\theta\) denote constructor parameters such as window lengths, thresholds, and smoothing constants.

\[\mu_t=\frac{1}{|W_t|}\sum_{i\in W_t}x_i\]

\[\sigma_t^2=\frac{1}{|W_t|}\sum_{i\in W_t}(x_i-\mu_t)^2\]

The return value is the current scalar indicator value.

Implementation Notes

The recurrence is implemented in src/rtta/indicator.cpp in class StdDev.

Reference

Background reference