Posts Tagged ‘variance’

## Running Variance

November 9, 2009
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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

- Accurately computing running variance
- From Google Answers, someone gave even the posted Java Code ; Simple and clear that could be easily read by any one knowing any programming language

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Categories: code, Formula, Mathematics, matlab, matlab Code, Uncategorized
code, matlab, running variance, statistics, variance