[Numpy-discussion] online (1-shot) calculation of variance (complex)
Neal Becker
ndbecker2@gmail....
Thu May 8 18:05:35 CDT 2008
Robert Kern wrote:
> On Thu, May 8, 2008 at 5:45 PM, Neal Becker <ndbecker2@gmail.com> wrote:
>> I saw some links on 1-pass recursive calculation of mean/variance. When
>> I tried the algorithms, it did not seem to give correct results for
>> complex
>> values. Anyone know how to correctly implement this?
>
> Well, exactly what did you try?
>
Here's my python translation:
It seems to give a variance that just converges to 0 given a vector of
gaussian r.v.:
class stat2 (object):
def __init__(self):
self.n = 0
self._mean = 0
self.M2 = 0
def __iadd__(self, x):
self.n += 1
delta = x - self._mean
self._mean += delta/self.n
self.M2 += delta*(x - self._mean) # This expression uses the
new value of mean
def mean(self):
return self._mean
def var(self):
return self.M2/(self.n - 1)
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