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From "Phil Steitz" <p...@steitz.com>
Subject Re: [math] UnivariateImpl - when sumsq ~ xbar*xbar*((double) n)
Date Tue, 03 Jun 2003 04:57:56 GMT
mdiggory@latte.harvard.edu wrote:
> Phil Steitz wrote:
> 
>>Since xbar = sum/n, the change has no impact on the which sums are 
>>computed or squared. Instead of (sum/n)*(sum/n)*n your change just 
>>computes sum**2/n.  The difference is that you are a) eliminating one 
>>division by n and one multiplication by n (no doubt a good thing) and b) 
>>replacing direct multiplication with pow(-,2). The second of these used 
>>to be discouraged, but I doubt it makes any difference with modern 
>>compilers.  I would suggest collapsing the denominators and doing just 
>>one cast -- i.e., use
>>
>>(1) variance = sumsq - sum * (sum/(double) (n * (n - 1)))
>>
>>If
>>
>>(2) variance = sumsq - (sum * sum)/(double) (n * (n - 1))) or
>>
>>(3) variance = sumsq - Math.pow(sum,2)/(double) (n * (n - 1))) give
>>
>>better accuracy, use one of them; but I would favor (1) since it will be 
>>able to handle larger positive sums.
>>
>>I would also recommend forcing getVariance() to return 0 if the result 
>>is negative (which can happen in the right circumstances for any of 
>>these formulas).
>>
>>Phil
> 
> 
> collapsing is definitely good, but I'm not sure about these equations, from my 
> experience, approaching (2) would look something more like
> 
> variance = (((double)n)*sumsq - (sum * sum)) / (double) (n * (n - 1));
> 
> see (5) in http://mathworld.wolfram.com/k-Statistic.html

That formula is the formula for the 2nd k-statistic, which is *not* the 
same as the sample variance.  The standard formula for the sample 
variance is presented in equation (3) here: 
http://mathworld.wolfram.com/SampleVariance.html or in any elementary 
statistics text. Formulas (1)-(3) above (and the current implementation) 
are all equivalent to the standard defintion.

What you have above is not.  The relation between the variance and the 
second k-statistic is presented in (9) on 
http://mathworld.wolfram.com/k-Statistic.html

> 
> As you've stated, this approach seems to have more than just one benifit. I'll 
> also place in a test for negitive values and return 0.0 if they are present.
> 
> -Mark
> 
> 
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