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Online Statistics / StdDev

Apr 15, 2011 at 6:39 PM


In response to your latest blog:

Great example post thank you, however for a truly online algorithm one needs to be able to submit new samples as they arrive, if you needed to find your new standard deviation relative to a growing 800MB dataset every 500ms - it would be difficult to use this method,

Is there a way to "addOne()" sample and have the standard deviation update with this system? To better reflect the true nature of sampling?
Thank you

PS. I think the blog comment system is broken, it timed out trying to submit this comment.

Apr 16, 2011 at 9:17 AM


>Is there a way to "addOne()" sample and have the standard deviation update with this system?

I don't think so, since Statistics is a static class and it doesn't store any state. I believe Jurgen was planning on breaking up the DescriptiveStatistics class so that one part would only compute statistics that could be done in a single pass. This would be the perfect place to add AddOne().



Apr 16, 2011 at 2:52 PM

Great thank you,

In my project I used these references: maybe they will help



Apr 21, 2011 at 3:51 PM

Hey Jared,

You are absolutely right, our classes do not allow for actual online computation of statistics. It is on the todo list but haven't had a chance to look at it just yet. Thanks for the links though: this is exactly the algorithm we should be using for that.

Your feedback is much appreciated!

Apr 21, 2011 at 3:52 PM
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