Stably Updating Mean and Standard Deviation of Data.
WASHINGTON STATE UNIV PULLMAN DEPT OF COMPUTER SCIENCE
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By considering the sample mean of a set of data as a fit to this data by a constant function, a computational method is presented based on a matrix formulation and Givens transformations. The sample mean and deviation can be updated as data accumulates. The procedure is numerically stable and does not require storage of the data. Methods for dealing with weighted data and data removal are presented. When updating the mean and square of the standard deviation the process requires no square roots. Author
- Statistics and Probability