Institution: Stanford University, Department of Computer Science

Title: Updating formulae and a pairwise algorithm for computing sample variances

Author: Chan, Tony F.

Author: Golub, Gene H.

Author: LeVeque, Randall J.

Date: November 1979

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.

http://i.stanford.edu/pub/cstr/reports/cs/tr/79/773/CS-TR-79-773.pdf