Error analysis of a pairwise summation algorithm to compute the sample variance

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Abstract

We give an error analysis of an algorithm for computing the sample variance due to Chan, Golub, and LeVeque [The American Statistician 7 (1983), pp. 242-247]. It is shown that this algorithm is numerically stable. The algorithm computes the sample variance (and the sample mean) using just one pass through the sample data. It is amenable to pairwise summation and thus requires only O(log n) parallel steps.

Original languageEnglish (US)
Pages (from-to)583-590
Number of pages8
JournalNumerische Mathematik
Volume58
Issue number1
DOIs
StatePublished - Dec 1 1990

All Science Journal Classification (ASJC) codes

  • Computational Mathematics
  • Applied Mathematics
  • Mathematics(all)

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