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From "Brent Worden" <br...@worden.org>
Subject RE: [math] Refactored UnivariateImpl
Date Wed, 18 Jun 2003 03:41:25 GMT

>
> > 2. I am worried about the powers, product and sumsq
> computations blowing up
> > prematurely (i.e. before the stats they are used in become NaN)
> in the infinite
> > window case, or having bad numerical stability.  We should
> probably research
> > better ways to compute these.  If this is too hard to do before initial
> > release, we might want to consider dropping the higher order moments and
> > geometric mean from UnivariateImpl.
> >
> > Phil
>
> Yes, I like the Wests algorithm approach for variance and I'm exploring
> the use of this approach for higher moments, this would eliminate the
> sums of powers.

Here are some recursive formulas for higher central moments
http://www.spss.com/tech/stat/Algorithms/11.5/descriptives.pdf


Brent Worden
http://www.brent.worden.org


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