Computational efficiency evaluation in output analysis
Proceedings of the 29th conference on Winter simulation
Further remark on stably updating mean and standard deviation estimates
Communications of the ACM
Computing standard deviations: accuracy
Communications of the ACM
Updating mean and variance estimates: an improved method
Communications of the ACM
Remark on stably updating mean and standard deviation of data
Communications of the ACM
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By considering the (sample) mean of a set of data as a fit to this data by a constant function, a computational method is given based on a matrix formulation and Givens transformations. The (sample) mean and standard deviation can be updated as data accumulates. The procedure is numerically stable and does not require storage of the data. Methods for dealing with weighted data and data removal are presented. When updating the mean and square of the standard deviation, the process requires no square roots.