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Re: Collecting statistics for time dependent data?
- From: Luke Stras <stras at ecf dot toronto dot edu>
- To: gsl-discuss at sources dot redhat dot com
- Date: Thu, 9 Dec 2004 16:09:22 -0500
- Subject: Re: Collecting statistics for time dependent data?
- References: <1102593229.8374.16.camel@pcgiamma.vki.ac.be>
- Reply-to: stras at utias dot utoronto dot ca
On Thu, Dec 09, 2004 at 12:53:49PM +0100, Raimondo Giammanco wrote:
> Hello,
>
> I was wondering if there is a way to compute "running" statistics with
> gsl.
>
> Consider a time dependent simulation where at each time-step you
> compute a vector/matrix of data, and you want to compute the
> sample mean, but using only one additional vector for data storage.
To the best of my knowledge, GSL doesn't have any routines to this.
However, I would recommend:
@Article{west79,
author = {D.H.D. West},
title = {Updating Mean and Variance Estimates: An Improved
Method},
journal = {Comm. ACM},
year = 1979,
volume = 22,
number = 9,
pages = {532-535},
month = {September}
}
@Article{chan79,
author = {T.F. Chan and J.G. Lewis},
title = {Computing Standard Deviations: Accuracy},
journal = {Comm. ACM},
year = 1979,
volume = 22,
number = 9,
pages = {526-531},
month = {September}
}
I used to have some (non-GSL) code lying around to implement West's
method, but I can't find it anywhere. It wasn't very complex, that's
for sure.
--
Luke Stras <stras@utias.toronto.edu>
"The meek can have the Earth; the rest of us have other plans"
--Henry Spencer