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Wednesday, March 21, 2012
Welford's Algorithm
Computing means and standard deviations for data can be hard. Naively implementing the formula can result in large numerical errors.
A better way is to use
Welford's Algorithm
, which is numerically stable.
Below is a
gist
for doing just that.
2 comments:
JustGlowing
March 23, 2012 at 12:55 PM
Welcome back Alemi!
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Alemi
March 23, 2012 at 2:28 PM
Thanks.
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Welcome back Alemi!
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