[R] cumVar and cumSkew
Albyn Jones
jones at reed.edu
Fri Sep 16 00:56:34 CEST 2011
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!
>
> --
> View this message in context: http://r.789695.n4.nabble.com/cumVar-and-cumSkew-tp3816899p3816899.html
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>
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--
Albyn Jones
Reed College
jones at reed.edu
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