Could somebody point me to an online algorithm that computes the variance, but gives a higher weight to more recent values?
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asked Nov 23, 2012 at 10:37
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1$\begingroup$ You are probably looking for something like this. $\endgroup$– tchakravartyCommented Nov 23, 2012 at 12:00
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$\begingroup$ This algorithm has a forgetting factor so that it gradually forgets older data. It does time series prediction and it estimates the variance as well. $\endgroup$– StevenCommented Nov 24, 2012 at 11:07
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