All Questions
Tagged with online-algorithms variance
8 questions
2
votes
1
answer
73
views
What is the intuition behind the single-pass algorithm (Welford's method) for the corrected sum of squares?
The corrected sum of squares is the sum of squares of the deviations of a set of values about its mean.
$$
S = \sum_{i=1}^k\space\space(x_i - \bar x)^2
$$
We can calculate the mean in a streaming ...
- 369
2
votes
0
answers
871
views
Change in standard deviation when a value is removed
Let's say a list of numbers $L$ has standard deviation $S$. Is there a formula for finding $S$ if I remove an element $l$ from $L$? Assume we know the mean of both $L$ and $L - l$.
- 143
14
votes
3
answers
6k
views
Online estimation of variance with limited memory
I am creating a component that aims to calculate the average and variance of a metric associated with events happening during time but with a limited internal memory.
Imagine that the events are ...
- 566
5
votes
3
answers
5k
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How do I compute/estimate the variance of sequential data? [duplicate]
Say I have a (infinite) sequences like 1, 3, 2, 2, 1, 3 ...
I want to estimate their mean and variance of the sequence at time $t$.
But I won't have enough storage to keep all the data seen ...
- 16.8k
4
votes
0
answers
228
views
Prediction Intervals for Incremental OLS regression
I am implementing incremental OLS regression algorithm where the data points arrive one at a time. As the regression parameters are determined by the formula, $(X'X)^{-1} X'y$ and the Sherman-Morrison ...
- 632
3
votes
0
answers
610
views
Online algorithm to compute variance with a decay
Could somebody point me to an online algorithm that computes the variance, but gives a higher weight to more recent values?
1
vote
1
answer
233
views
Estimate variance of sub-sets from overall variance
I am looking for a way to estimate the variance of a summed sub-set based on the variance of those sums.
Si = sum( Ai )
S = { S0...Sn }
V = variance( S )
That is,...
17
votes
2
answers
12k
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What is the precise definition of a "Heywood Case"?
I had been using the term "Heywood Case" somewhat informally to refer to situations where an online, 'finite response' iteratively updated estimate of the variance became negative due to numerical ...
- 15k