[R] RE: New package: colSums

[Liaw, Andy]

David,
 
> - colVars is very naive, e.g. I'm probably exacerbating 
> roundoff error when
>   mu >> sigma.  I personally don't worry because in finance, 
> mu (return) is
>   never >> sigma (risk) :-).  The S-Plus documentation for 
> colVars claims they
>   do something fancy with the "two-pass method described in 
> Chan, Golub, and
>   LeVeque (1983)" that I don't know anything about.

The formula in that paper is essentially

  Sum(X-Xbar)^2 - (1/N)(Sum(X - Xbar))^2 

which corrects for roundoff errors.  This is quite effective, at minimal
computational cost.

Cheers,
Andy

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