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Posts Tagged ‘running variance’

Running Variance

November 9, 2009 Leave a comment

Just in mid of the code wanted to find the Running Variance, just as habit typed and found not so good links.

1/N*[sum(i=1:N-1, Xi*Xi’) + X*X’] – (1/N^2)*[ sum(i=1:(N-1), Xi) + X][ sum(i=1:(N-1), Xi) + X]’

Matlab code for calculating the running Variance is as follow

%updating Mean

newMean = (newMean*(N-1) + X)/N;

sumOfSq = sumOfSq*(N-1)  + X*X';

covMat =  (1/N)*sumOfSQ - newMean*newMean'

Externally there are few links that are worth reading

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