Add AWK script to compute the corrected sample standard deviation

kgryte · kgryte · commit a4757ad30379 · 2016-10-19T20:40:00.000-07:00
diff --git a/tools/awk/stdev.awk b/tools/awk/stdev.awk
@@ -0,0 +1,36 @@
+#!/usr/bin/env awk -f
+#
+# Computes the corrected sample standard deviation.
+#
+# Usage: stdev
+#
+# Input:
+#   - a column of numbers
+#
+# Output:
+#   - corrected sample standard deviation
+#
+# Notes:
+#   - Uses [Welford's method][1].
+#
+# [1]: https://en.wikipedia.org/wiki/Algorithms_for_calculating_variance#Online_algorithm
+
+BEGIN {
+	delta = 0
+	mean = 0
+	M2 = 0
+	N = 0
+}
+{
+	N += 1
+	delta = $1 - mean
+	mean += delta / N
+	M2 += delta * ($1 - mu)
+}
+END {
+	if (N < 2) {
+		print 0
+	} else {
+		print sqrt(M2 / (N-1))
+	}
+}
