Updating formulae and a pairwise algorithm for computing sample variances

Authors:
Tony F. Chan;Gene H. Golub;Randall J. LeVeque
Affiliations:
-;-;-
Venue:
Updating formulae and a pairwise algorithm for computing sample variances
Year:
1979

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Abstract

A general formula is presented for computing the simple variance for a sample of size m + n given the means and variances for two subsamples of sizes m and n. This formula is used in the construction of a pairwise algorithm for computing the variance. Other applications are discussed as well, including the use of updating formulae in a parallel computing environnment. We present numerical results and rounding error analyses for several numerical schemes.