There is quite a literature on related methods for variance. If anyone
is interested, I did some work (and even published the code in the
magazine Interface Age in 1981) on some of these. I could probably put
together scans of relevant materials, some of which are not easily
available. It would make a good Master's or senior undergrad project,
and could be (possibly has been) extended to compute covariance matrices
properly for very large data sets and streaming data.
JN
On 13-07-27 06:00 AM, r-devel-requ...@r-project.org wrote:
Message: 6
Date: Fri, 26 Jul 2013 12:58:28 +0000
From: Ravi Varadhan<ravi.varad...@jhu.edu>
To: Joshua Ulrich<josh.m.ulr...@gmail.com>, Zach Harrington
<zach.harring...@gmail.com>
Cc:"r-devel@r-project.org List" <r-devel@r-project.org>
Subject: Re: [Rd] What algorithm is R using to calculate mean?
Message-ID:
<2f9ea67ef9ae1c48a147cb41be2e15c3491...@dom-eb-mail1.win.ad.jhu.edu>
Content-Type: text/plain; charset="us-ascii"
This uses the idea of Kahan's summation, if I am not mistaken.
http://en.wikipedia.org/wiki/Kahan_summation_algorithm
Ravi
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