diff --git a/src/Numerics/Numerics.csproj b/src/Numerics/Numerics.csproj
index b783234e..f286723b 100644
--- a/src/Numerics/Numerics.csproj
+++ b/src/Numerics/Numerics.csproj
@@ -211,6 +211,7 @@
+
diff --git a/src/Numerics/Statistics/MovingStatistics.cs b/src/Numerics/Statistics/MovingStatistics.cs
new file mode 100644
index 00000000..6e97b720
--- /dev/null
+++ b/src/Numerics/Statistics/MovingStatistics.cs
@@ -0,0 +1,251 @@
+//
+// Math.NET Numerics, part of the Math.NET Project
+// http://numerics.mathdotnet.com
+// http://github.com/mathnet/mathnet-numerics
+// http://mathnetnumerics.codeplex.com
+//
+// Copyright (c) 2009-2015 Math.NET
+//
+// Permission is hereby granted, free of charge, to any person
+// obtaining a copy of this software and associated documentation
+// files (the "Software"), to deal in the Software without
+// restriction, including without limitation the rights to use,
+// copy, modify, merge, publish, distribute, sublicense, and/or sell
+// copies of the Software, and to permit persons to whom the
+// Software is furnished to do so, subject to the following
+// conditions:
+//
+// The above copyright notice and this permission notice shall be
+// included in all copies or substantial portions of the Software.
+//
+// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
+// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES
+// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
+// NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT
+// HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
+// WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING
+// FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR
+// OTHER DEALINGS IN THE SOFTWARE.
+//
+
+using System;
+using System.Collections.Generic;
+using MathNet.Numerics.Properties;
+
+namespace MathNet.Numerics.Statistics
+{
+ ///
+ /// Running statistics over a window of data, allows updating by adding values.
+ ///
+ public class MovingStatistics
+ {
+ readonly double[] _oldValues;
+ readonly int _windowSize;
+ int _lastIndex;
+ double _m1;
+ double _m2;
+ double _m3;
+ double _m4;
+ double _max = double.NegativeInfinity;
+ double _min = double.PositiveInfinity;
+
+ public MovingStatistics(int windowSize)
+ {
+ if (windowSize < 1)
+ {
+ throw new ArgumentException(string.Format(Resources.ArgumentMustBePositive), "windowSize");
+ }
+ _windowSize = windowSize;
+ _oldValues = new double[_windowSize];
+ }
+
+ public MovingStatistics(int windowSize, IEnumerable values) : this(windowSize)
+ {
+ PushRange(values);
+ }
+
+ public int WindowSize
+ {
+ get { return _windowSize; }
+ }
+
+ ///
+ /// Gets the total number of samples.
+ ///
+ public long Count { get; private set; }
+
+ ///
+ /// Returns the minimum value in the sample data.
+ /// Returns NaN if data is empty or if any entry is NaN.
+ ///
+ public double Minimum
+ {
+ get { return Count > 0 ? _min : double.NaN; }
+ }
+
+ ///
+ /// Returns the maximum value in the sample data.
+ /// Returns NaN if data is empty or if any entry is NaN.
+ ///
+ public double Maximum
+ {
+ get { return Count > 0 ? _max : double.NaN; }
+ }
+
+ ///
+ /// Evaluates the sample mean, an estimate of the population mean.
+ /// Returns NaN if data is empty or if any entry is NaN.
+ ///
+ public double Mean
+ {
+ get { return Count > 0 ? _m1 : double.NaN; }
+ }
+
+ ///
+ /// Estimates the unbiased population variance from the provided samples.
+ /// On a dataset of size N will use an N-1 normalizer (Bessel's correction).
+ /// Returns NaN if data has less than two entries or if any entry is NaN.
+ ///
+ public double Variance
+ {
+ get { return Count < 2 ? double.NaN : _m2/(Count - 1); }
+ }
+
+ ///
+ /// Evaluates the variance from the provided full population.
+ /// On a dataset of size N will use an N normalizer and would thus be biased if applied to a subset.
+ /// Returns NaN if data is empty or if any entry is NaN.
+ ///
+ public double PopulationVariance
+ {
+ get { return Count < 2 ? double.NaN : _m2/Count; }
+ }
+
+ ///
+ /// Estimates the unbiased population standard deviation from the provided samples.
+ /// On a dataset of size N will use an N-1 normalizer (Bessel's correction).
+ /// Returns NaN if data has less than two entries or if any entry is NaN.
+ ///
+ public double StandardDeviation
+ {
+ get { return Count < 2 ? double.NaN : Math.Sqrt(_m2/(Count - 1)); }
+ }
+
+ ///
+ /// Evaluates the standard deviation from the provided full population.
+ /// On a dataset of size N will use an N normalizer and would thus be biased if applied to a subset.
+ /// Returns NaN if data is empty or if any entry is NaN.
+ ///
+ public double PopulationStandardDeviation
+ {
+ get { return Count < 2 ? double.NaN : Math.Sqrt(_m2/Count); }
+ }
+
+/* ///
+ /// Estimates the unbiased population skewness from the provided samples.
+ /// Uses a normalizer (Bessel's correction; type 2).
+ /// Returns NaN if data has less than three entries or if any entry is NaN.
+ ///
+ public double Skewness
+ {
+ get { return Count < 3 ? double.NaN : (Count*_m3*Math.Sqrt(_m2/(Count - 1))/(_m2*_m2*(Count - 2)))*(Count - 1); }
+ }
+
+ ///
+ /// Evaluates the population skewness from the full population.
+ /// Does not use a normalizer and would thus be biased if applied to a subset (type 1).
+ /// Returns NaN if data has less than two entries or if any entry is NaN.
+ ///
+ public double PopulationSkewness
+ {
+ get { return Count < 2 ? double.NaN : Math.Sqrt(Count)*_m3/Math.Pow(_m2, 1.5); }
+ }
+
+ ///
+ /// Estimates the unbiased population kurtosis from the provided samples.
+ /// Uses a normalizer (Bessel's correction; type 2).
+ /// Returns NaN if data has less than four entries or if any entry is NaN.
+ ///
+ public double Kurtosis
+ {
+ get { return Count < 4 ? double.NaN : ((double) Count*Count - 1)/((Count - 2)*(Count - 3))*(Count*_m4/(_m2*_m2) - 3 + 6.0/(Count + 1)); }
+ }
+
+ ///
+ /// Evaluates the population kurtosis from the full population.
+ /// Does not use a normalizer and would thus be biased if applied to a subset (type 1).
+ /// Returns NaN if data has less than three entries or if any entry is NaN.
+ ///
+ public double PopulationKurtosis
+ {
+ get { return Count < 3 ? double.NaN : Count*_m4/(_m2*_m2) - 3.0; }
+ }*/
+
+ ///
+ /// Update the running statistics by adding another observed sample (in-place).
+ ///
+ public void Push(double value)
+ {
+ if (Count < _windowSize)
+ {
+ _oldValues[Count] = value;
+ Count++;
+ var d = value - _m1;
+ var s = d/Count;
+// var s2 = s * s;
+ var t = d*s*(Count - 1);
+
+ _m1 += s;
+// _m4 += t * s2 * (Count * Count - 3 * Count + 3) + 6 * s2 * _m2 - 4 * s * _m3;
+// _m3 += t * s * (Count - 2) - 3 * s * _m2;
+ _m2 += t;
+
+ if (value < _min || double.IsNaN(value))
+ {
+ _min = value;
+ }
+
+ if (value > _max || double.IsNaN(value))
+ {
+ _max = value;
+ }
+ }
+ else
+ {
+ var oldValue = _oldValues[_lastIndex];
+ var d = value - oldValue;
+ var s = d/Count;
+// var s2 = s * s;
+ var oldM1 = _m1;
+ _m1 += s;
+
+ var x = (value - _m1 + oldValue - oldM1);
+ var t = d*x;
+ _m2 += t;
+
+// _m4 += t * s2 * (Count * Count - 3 * Count + 3) + 6 * s2 * _m2 - 4 * s * _m3;
+// _m3 += t * (x /(Count-1) - 3 * s * _m2;
+
+ _oldValues[_lastIndex] = value;
+ _lastIndex++;
+ if (_lastIndex == WindowSize)
+ {
+ _lastIndex = 0;
+ }
+ _max = value > _max || double.IsNaN(value) ? value : _oldValues.Maximum();
+ _min = value < _min || double.IsNaN(value)? value : _oldValues.Minimum();
+ }
+ }
+
+ ///
+ /// Update the running statistics by adding a sequence of observed sample (in-place).
+ ///
+ public void PushRange(IEnumerable values)
+ {
+ foreach (var value in values)
+ {
+ Push(value);
+ }
+ }
+ }
+}
diff --git a/src/UnitTests/StatisticsTests/MovingStatisticsTests.cs b/src/UnitTests/StatisticsTests/MovingStatisticsTests.cs
new file mode 100644
index 00000000..60d77f07
--- /dev/null
+++ b/src/UnitTests/StatisticsTests/MovingStatisticsTests.cs
@@ -0,0 +1,66 @@
+//
+// Math.NET Numerics, part of the Math.NET Project
+// http://numerics.mathdotnet.com
+// http://github.com/mathnet/mathnet-numerics
+// http://mathnetnumerics.codeplex.com
+//
+// Copyright (c) 2009-2015 Math.NET
+//
+// Permission is hereby granted, free of charge, to any person
+// obtaining a copy of this software and associated documentation
+// files (the "Software"), to deal in the Software without
+// restriction, including without limitation the rights to use,
+// copy, modify, merge, publish, distribute, sublicense, and/or sell
+// copies of the Software, and to permit persons to whom the
+// Software is furnished to do so, subject to the following
+// conditions:
+//
+// The above copyright notice and this permission notice shall be
+// included in all copies or substantial portions of the Software.
+//
+// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
+// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES
+// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
+// NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT
+// HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
+// WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING
+// FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR
+// OTHER DEALINGS IN THE SOFTWARE.
+//
+
+using System;
+using System.Collections.Generic;
+using System.Diagnostics;
+using System.Runtime.InteropServices;
+using MathNet.Numerics.Distributions;
+using MathNet.Numerics.Random;
+using MathNet.Numerics.Statistics;
+using NUnit.Framework;
+
+namespace MathNet.Numerics.UnitTests.StatisticsTests
+{
+#if !PORTABLE
+ [TestFixture, Category("Statistics")]
+ public class MovingStatisticsTests
+ {
+ [Test]
+ public void QuickTest()
+ {
+ var data = new double[1000000];
+ (new Normal(50, 10, new SystemRandomSource(0))).Samples(data);
+ var ms = new MovingStatistics(5, data);
+ ms.PushRange(new[] { 11.11, 22.22, 33.33, 44.44, 55.55 });
+ Assert.AreEqual(5, ms.Count);
+ Assert.AreEqual(11.11, ms.Minimum);
+ Assert.AreEqual(55.55, ms.Maximum);
+
+ Assert.AreEqual(33.33, ms.Mean, 1e-11);
+ Assert.AreEqual(308.58025, ms.Variance, 1e-10);
+
+ //AssertHelpers.AlmostEqualRelative(stats0.Mean, ms.Mean, 14);
+ //AssertHelpers.AlmostEqualRelative(stats0.Variance, ms.Variance, 14);
+ //AssertHelpers.AlmostEqualRelative(stats0.StandardDeviation, ms.StandardDeviation, 14);
+ }
+ }
+#endif
+}
diff --git a/src/UnitTests/UnitTests.csproj b/src/UnitTests/UnitTests.csproj
index 3b9505a2..713d8740 100644
--- a/src/UnitTests/UnitTests.csproj
+++ b/src/UnitTests/UnitTests.csproj
@@ -377,6 +377,7 @@
+