1983/08/01 by Tony F. Chan, Gene H. Golub, Randall J. LeVeque · 3 citations
Mathematics · Engineering · #Statistical and numerical algorithms #Statistical Methods and Inference #Control Systems and Identification
paper · doi:10.1080/00031305.1983.10483115
openalex publication_date 1983/08/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/30
The problem of computing the variance of a sample of N data points xi may be difficult for certain data sets, particularly when N is large and the variance is small. We present a survey of possible algorithms and their round-off error bounds, including some new analysis for computations with shifted data. Experimental results confirm these bounds and illustrate the dangers of some algorithms. Specific recommendations are made as to which algorithm should be used in various contexts.