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From Phil Steitz <phil.ste...@gmail.com>
Subject Re: [math] Links to documents in javadocs for moment computation
Date Sat, 16 Nov 2013 19:34:03 GMT
On 11/16/13 3:55 AM, Ajo Fod wrote:
> Hello,
>
> The document:
> http://commons.apache.org/proper/commons-math/javadocs/api-3.2/index.htmlis
> relevant to First/Second/Moments, could someone add it to those
> classes
> as well?

The javadoc for first and second moments and variance now describes
exactly what the updating algorithms are.  The moments use
recurrences similar to what the reference you provided suggests, but
they are explicitly stated in the javadoc and pretty elementary.  In
general, when we can provide full algorithm descriptions in [math]
javadoc, we prefer to do that, as it makes it clear exactly what we
are computing.  If what you are suggesting is that we change the
updating formulas, please clarify and explain the numerical
rationale for the change.  The (storeless) variance computation uses
West's updating algorithm [1], as documented in the class javadoc
for Variance.  One other thing to bear in mind here is that what we
call "SecondMoment" is a not really the standard second moment
statistic.  The difference is made clear in the class javadoc.  This
statistic is a building block used by other stats and its definition
reflects that.

Phil

[1] http://doi.acm.org/10.1145/359146.359152
>
>
> This link is already documented in :
>
>
>
>
> *org.apache.commons.math3.stat.correlation.StorelessCovariance*
>


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