Stably Updating Mean and Standard Deviation of Data

By considering the (sample) mean of a set of
data as a fit to this data by a constant function, 
a computational method is given based on a matrix formulation
and Givens transformations. The (sample) 
mean and standard deviation can be updated as data
accumulates.  The procedure is numerically stable 
and does not require storage of the data.  Methods for
dealing with weighted data and data removal are 
presented.  When updating the mean and square of the
standard deviation, the process requires no square 
roots.

CACM January, 1975

Hanson, R. J.

mean, standard deviation, least squares, Givens
transformation, updating estimates, removing data

5.5 5.19

CA750112 JB January 12, 1978  9:05 AM

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