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Adding corrected two-pass algorithm for variance calculation. 

git-svn-id: https://svn.apache.org/repos/asf/jakarta/commons/proper/math/trunk@140921 13f79535-47bb-0310-9956-ffa450edef68
This commit is contained in:
Mark R. Diggory 2003-06-18 03:01:28 +00:00
parent 374b62d120
commit 7c57c2ed60
1 changed files with 11 additions and 2 deletions
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13
src/java/org/apache/commons/math/stat/StatUtils.java
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@ -155,7 +155,14 @@ public class StatUtils {
}
/**
* Returns the variance of the available values.
* Returns the variance of the available values. This uses a corrected
* two pass algorithm of the following
* <a href="http://lib-www.lanl.gov/numerical/bookcpdf/c14-1.pdf">
* corrected two pass formula (14.1.8)</a>, and also referenced in:<p/>
* "Algorithms for Computing the Sample Variance: Analysis and
* Recommendations", Chan, T.F., Golub, G.H., and LeVeque, R.J.
* 1983, American Statistician, vol. 37, pp. 242?247.
*
* @param values Is a double[] containing the values
* @return the result, Double.NaN if no values for an empty array
* or 0.0 for a single value set.
@ -168,10 +175,12 @@ public class StatUtils {
} else if (values.length > 1) {
double mean = mean(values);
double accum = 0.0;
double accum2 = 0.0;
for (int i = 0; i < values.length; i++) {
accum += Math.pow((values[i] - mean), 2.0);
accum2 += (values[i] - mean);
}
variance = accum / (double)(values.length - 1);
variance = (accum - (Math.pow(accum2,2)/(double)values.length)) / (double)(values.length - 1);
}
return variance;
}