I want to do some simple statistics in C++. I'm starting out super-simple - average, standard deviation, kurtosis, moments, quantiles. Later on I might want to go in a bit deeper.

So, I'm looking for a statistics-oriented (or statistics-only) library.

Required features:

  • Written in C++ (or at least - C++ headers + compiled library, in which case I suppose it doesn't terribly matter if it's another language)
  • C++11-aware design (of the API at least)
  • Well-templated, so it doesn't force a lot of its own choices on me
  • Specifically, must supports standard library containers and iterators as input (which obviously requires templating)
  • Simple functionality must not require more than a few lines of code to put to use
  • No weird stuff like starting auxiliary processes, parallelizing without letting me control it, bringing up interpretation engines for other languages etc.
  • Libre license (incl. source of course)
  • Gratis
  • Works in GNU/Linux on x86_64 machines

Desired features:

  • Fast to compile against
  • Header-oriented
  • Good performance
  • Has a known "position" in the performance space vis-a-vis well-known statistics/algebra/math libraries (could even be because it uses them under the hood)
  • Well-documented
  • Under active development

Note: Slightly related to this question.

  • 1
    Any time I see "Open Source" and "Statistics" and "Programming" my mind starts screaming about R and what it offers. Quick google for "r c++" may do it, or "cran R c++" – ivanivan Jan 3 '17 at 4:39
  • @ivanivan: Oh, no, I don't want that kind of a behemoth. Let me tweak the requirements a bit. – einpoklum Jan 3 '17 at 8:25

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