Statistics and Models

Univariate Statistics

StatisticOnlineStat
MeanMean
VarianceVariance
QuantilesQuantile and P2Quantile
Maximum/MinimumExtrema
Skewness and kurtosisMoments
SumSum
Geometric MeanGeometricMean

Plotting (See Data Visualization)

Info

Many OnlineStats have Plot recipes beyond what is listed here.

PlotOnlineStat
Big Data VizPartition, IndexedPartition, KIndexedPartition
Mosaic PlotMosaic
HeatMapHeatMap

Time Series

StatisticOnlineStat
DifferenceDiff
LagLag
Autocorrelation/autocovarianceAutoCov
Tracked historyTrace, StatLag

Multivariate Analysis

Statistic/ModelOnlineStat
Covariance/correlation matrixCovMatrix
Principal components analysisCovMatrix, CCIPCA
K-means clusteringKMeans
Multiple univariate statisticsGroup

Nonparametric Density Estimation

Statistic/ModelOnlineStat
Histograms/continuous densityHist, KHist, and ExpandingHist
ASH density (semiparametric, similar to KDE)Ash
Approximate order statisticsOrderStats
Count for each unique valueCountMap
Approximate CDFOrderStats

Parametric Density Estimation

DistributionOnlineStat
BetaFitBeta
CauchyFitCauchy
GammaFitGamma
LogNormalFitLogNormal
NormalFitNormal
MultinomialFitMultinomial
MvNormalFitMvNormal

Machine/Statistical Learning

ModelOnlineStat
Linear (also ridge) regressionLinReg, LinRegBuilder
Decision TreesFastTree
Random ForestFastForest
Naive Bayes ClassifierNBClassifier
ML via Stochastic ApproximationStatLearn

Other

Statistic/ModelOnlineStat
Handling Missing DataFilterTransform, CountMissing, SkipMissing
Statistical BootstrapBootstrap
Approx. count of distinct elementsHyperLogLog
Approx. count of occurrencesCountMinSketch
Random sampleReservoirSample
Moving WindowMovingWindow, MovingTimeWindow

Collection of Stats

Statistic/ModelOnlineStat
Univariate data streamSeries, FTSeries
Multivariate data streamsGroup
Group by categorical variableGroupBy

Stochastic Approximation with StatLearn

Regression and Classification Losses

LossFunction
$L_{2}$ Loss (squared error)OnlineStats.l2regloss
$L_{1}$ Loss (absolute error)OnlineStats.l1regloss
Logistic LossOnlineStats.logisticloss
$L_{1}$ Hinge LossOnlineStats.l1hingeloss
Generalized distance weighted discriminationOnlineStats.DWDLoss

Penalty/regularization functions

PenaltyFunction
Nonezero
LASSO ($L_{1}$ penalty)abs
Ridge ($L_{2}$ penalty)abs2
Elastic NetOnlineStats.ElasticNet

Optimization Algorithms

AlgorithmConstructor
Stochastic Gradient DescentSGD
RMSPropRMSPROP
AdaGradADAGRAD
AdaDeltaADADELTA
ADAMADAM
ADAMaxADAMAX
MSPI (Majorized Stochastic Proximal Iteration)MSPI
Online Majorization-Minimization (MM) - averaged surrogateOMAS
Online MM - Averaged ParameterOMAP