A simple Python module for computing the sample statistics of an array in a running/online fashion (when samples are not kept).

This is just a Python port of [John Cook]'s C++ code here. There is also a Julia implementation by John Myles White here. The only special feature of this code is that we support (coming soon) computing running statistics of arrays living on a GPU via CuPy.

You may also be interested in the Python module RunStats.

My interest in computing statistics this way comes from summarizing the samples generated by a MCMC sampler when storing all of the samples is infeasible.