Question

Incremental STDDEV approximation

Asked by: gregoryyoung

Does anyone know of an incremental approximation for standard deviation? I currently use single pass [Knuth] for calculation but am willing to trade some accuracy for better than O(n) performance

Ex:
I have 5000 values, I have a standard deviation for them.  I add a new value or remove an old value ... what is the new deviation?

Cheers,

Greg

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Asked On
2007-09-13 at 11:23:04ID22827045
Tags

deviation

,

stddev

Topics

Algorithms

,

Math & Science

Participating Experts
1
Points
500
Comments
3

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Answers

 

by: gregoryyoungPosted on 2007-09-13 at 11:36:32ID: 19886003

btw: I am 99.99% sure (but i have not sufficiently proven) that for an exact value I need O( n ) ... to be clear I am looking for an incremental approximation

 

by: ozoPosted on 2007-09-13 at 11:48:05ID: 19886114

sumx += new-old
sumx2 += new²-old²
stdev = sqrt((sumx2/5000)-(sumx/5000)²)

but be carfull that round off errors don't make this negative

 

by: gregoryyoungPosted on 2007-09-13 at 12:12:09ID: 19886314

thanks and DOH

20120131-EE-VQP-002

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