[R] cumVar and cumSkew

[Albyn Jones]

Wow, this takes me back a ways :-)

As I recall, BMDP used updating algorithms to compute sample means,
variances, and covariances in one pass through the dataset.

You need the updating algorithm for means:

  \bar{X}_{n} =  \frac{n-1}{n}\bar{X}_{n-1}+\frac{X_n}{n}

You can work out the algorithm for variances using the same idea,
or consult:

   Algorithms for Computing the Sample Variance: 
   Analysis and Recommendations Algorithms for Computing the Sample Variance: 
   Tony F. Chan, Gene H. Golub, Randall J. LeVeque
   The American Statistician, Vol. 37, No. 3 (Aug., 1983), pp. 242-247

I think the updating and other algorithms are described therein.

albyn

On Thu, Sep 15, 2011 at 02:57:40PM -0700, D_Tomas wrote:
> Hi there, 
> 
> I need to do the same thing as cumsum but with the variance and skewness. I
> have tried to do a loop for like this: 
>        var.value <- vector(mode = "numeric", length = length(daily))
>         for (i in (1:length(daily))) { 
>            var.value[i] <- var(daily[1:i])
>         }
> 
> But because my dataset is so huge, I run out of memory.....
> 
> 
> Any ideas?!?!
> 
> Much appreciate it!
> 
> --
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> 
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-- 
Albyn Jones
Reed College
jones at reed.edu