Updating mean and variance estimates: an improved method

@article{West1979UpdatingMA,
  title={Updating mean and variance estimates: an improved method},
  author={D. West},
  journal={Commun. ACM},
  year={1979},
  volume={22},
  pages={532-535}
}
  • D. West
  • Published 1979
  • Mathematics, Computer Science
  • Commun. ACM
A method of improved efficiency is given for updating the mean and variance of weighted sampled data when an additional data value is included in the set. Evidence is presented that the method is stable and at least as accurate as the best existing updating method. 

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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 given based on a matrix formulation and Givens transformations that can be updated as data accumulates. Expand
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Although not published as a numbered algorithm, Hanson's article “Stably Updating Mean and Standard Deviation of Data” in the January, 1975, issue of Communications, [1] describes an algorithm forExpand
Computing standard deviations: accuracy
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Four algorithms for the numerical computation of the standard deviation of (unweighted) sampled data are analyzed and it is concluded that all four algorithms will provide accurate answers for many problems, but two of the algorithms are substantially more accurate on difficult problems than are the other two. Expand
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Abstract A rapid and effective method is described for the approximate separation of exponentials of unknown decay rates. One application is as a generator of initial approximations for statisticallyExpand
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In many problems the "corrected sum of squares" of a set of values must be calculated i.e. the sum of squares of the deviations of the values about their mean. The most usual way is to calculate theExpand
Case postale 65 IFAC Symposium on Identification and System Parameter Estimation
  • Case postale 65 IFAC Symposium on Identification and System Parameter Estimation
  • 1979
Sponsor: International Telecommunication Union
  • World Telecommunication Exhibition Contact: Secretariat TELECOM
  • 1979
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