[math] "Rolling" stats without storage

[Phil Steitz <ph...@steitz.com>]

The article below reminded me that by using smoothing techniques you can 
achieve the effect of rolling means using clever updating formulas 
without storing any data.  The authors also introduce a technique for 
generating "time discounted" kernel density estimates recursively as 
well. This is cool.  We may want to implement something like this (post 0.1)

E. J. Wegman and D.J. Marchette, "On Some Techniques for Streaming Data: 
A Case Study of Internet Packet Headers" Journal of Computational and 
Graphical Statistics,  vol. 12, no. 4, Dec. 2003

The application is to intrusion detection.

Unfortunately, this is only available in dead tree format today.  :-( 
It will eventually be available for $ from the ASA here 
<http://www.catchword.com/asa/titles.htm>.

Phil


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