RollingZscore

Description

The RollingZscore class computes the rolling z-score for each value in a specified moving window, representing how many standard deviations each data point is from the mean of its window. This metric is useful for identifying outliers or deviations in a sequence.

Initial values: The constructor requires a positive integer window_size parameter to define the rolling window.
NaN handling: NaN values are not handled natively and should be preprocessed if necessary.

Usage Example and Plot

Implementation Details

Algorithm

RollingZscore implements cyclic buffers to accumulate windowed statistics.

Complexity

• Time Complexity: O(log(1)) per new element due to the insertion and deletion operations in the heaps.

• Space Complexity: O(window_size), as only elements within the current window are stored.