Online Variance

One thought on “Online Variance

  1. Joshua Burkholder

    This is also derived from the following:

    1) D. E. Knuth (1998). The Art of Computer Programming (Volume 2): Seminumerical Algorithms. Third Edition. Page 232.
    2) B. P. Welford (1962). Note on a Method for Calculating Corrected Sums of Squares and Products. Technometrics (Volume 4, Number 3). Pages 419-420.
    Link: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.302.7503
    3) T. F. Chan, G. H. Golub, and R. J. LeVeque (1983). Algorithms for Computing the Sample Variance: Analysis and Recommendations. The American Statistician (Volume 37, Number 3). Pages 242-247.

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