pm_sampleMean Module Reference

This module contains classes and procedures for computing the first moment (i.e., the statistical mean) of random weighted samples. More...

Data Types
interface	getMean
	Generate and return the (weighted) mean of an input sample of nsam observations with ndim = 1 or 2 attributes, optionally weighted by the input weight. More...
interface	getMeanMerged
	Generate and return the (weighted) merged mean of a sample resulting from the merger of two separate (weighted) samples \(A\) and \(B\). More...
interface	setMean
	Return the (weighted) mean of a pair of time series or of an input sample of nsam observations with ndim = 1 or 2 attributes, optionally weighted by the input weight, optionally also sum(weight) and optionally, sum(weight**2). More...
interface	setMeanMerged
	Return the (weighted) merged mean of a sample resulting from the merger of two separate (weighted) samples \(A\) and \(B\). More...

Variables
character(*, SK), parameter	MODULE_NAME = "@pm_sampleMean"

Detailed Description

This module contains classes and procedures for computing the first moment (i.e., the statistical mean) of random weighted samples.

The mean of a weighted sample of \(N\) data points is computed by the following equation,

\begin{equation} \mu = \frac{\sum_{i = 1}^{N} w_i x_i}{\sum_{i = 1}^{N} w_i} \end{equation}

where \(w_i\) represents the weight of the \(i\)th sample.

Mean updating

Suppose the mean of an initial (potentially weighted) sample \(x_A\) of size \(N_A\) is computed to be \(\mu_A\).
Another (potentially weighted) sample \(x_B\) of size \(N_B\) is subsequently obtained with a different number observations and mean \(\mu_B\).
The mean of the two samples combined can be expressed in terms of the originally computed means,

\begin{equation} \large \mu = \frac { w_A \sum_{i = 1}^{N_A} w_{\up{A,i}} x_{\up{A,i}} + w_B \sum_{i = 1}^{N_B} w_{\up{B,i}} x_{\up{B,i}} }{ w_A + w_B } \end{equation}

where \(\large w_A = \sum_{i = 1}^{N_A} w_{\up{A,i}}\) and \(\large w_B = \sum_{i = 1}^{N_B} w_{\up{B,i}}\) are sums of the weights of the corresponding samples.
For equally-weighted samples, the corresponding weights \(w_{\up{A,i}}\) or \(w_{\up{B,i}}\) or both are all unity such that \(N_A = w_A\) or \(N_B = w_B\) or both holds.

Developer Remark:

While it is tempting to extend the generic interfaces of this module to weight arguments of type integer or real of various kinds, such extensions do not add any benefits beyond making the interface more flexible for the end user.
But such extensions would certainly make the maintenance and future extensions of this interface difficult and complex.
According to the coercion rules of the Fortran standard, if an integer is multiplied with a real, the integer value must be first converted to real of the same kind as the real value, then multiplied.
Furthermore, the floating-point multiplication tends to be faster than integer multiplication on most modern architecture.
The following list compares the cost and latencies of some of basic operations involving integers and real numbers.

1. Central Processing Unit (CPU):
   1. Integer add: 1 cycle
   2. 32-bit integer multiply: 10 cycles
   3. 64-bit integer multiply: 20 cycles
   4. 32-bit integer divide: 69 cycles
   5. 64-bit integer divide: 133 cycles
2. On-chip Floating Point Unit (FPU):
   1. Floating point add: 4 cycles
   2. Floating point multiply: 7 cycles
   3. Double precision multiply: 8 cycles
   4. Floating point divide: 23 cycles
   5. Double precision divide: 36 cycles

See also

pm_sampling
pm_sampleACT
pm_sampleCCF
pm_sampleCor
pm_sampleCov
pm_sampleConv
pm_sampleECDF
pm_sampleMean
pm_sampleNorm
pm_sampleQuan
pm_sampleScale
pm_sampleShift
pm_sampleWeight
pm_sampleAffinity
pm_sampleVar
Intel Fortran Forum - Integer VS fp performance
Colorado State University tips on Fortran performance

Test:

test_pm_sampleMean

Final Remarks ⛓

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For details on the naming abbreviations, see this page.
For details on the naming conventions, see this page.
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Copyright

Computational Data Science Lab

Author:

Fatemeh Bagheri, Thursday 12:45 AM, August 20, 2021, Dallas, TX

Variable Documentation

MODULE_NAME

character(*, SK), parameter pm_sampleMean::MODULE_NAME = "@pm_sampleMean"

Definition at line 110 of file pm_sampleMean.F90.