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From Phil Steitz <>
Subject Re: [math] Links to documents in javadocs for moment computation
Date Sun, 17 Nov 2013 16:10:38 GMT
On 11/17/13 6:02 AM, Ajo Fod wrote:
> The Sandia report is free. The javadoc link is paywalled. I'd recommend
> linking a free version if you want people to have unfettered access.
> Does the paywalled document describe how to do the aggregate/combine/reduce
> operation we talked about in
> The Sandia report does.
> Also, I've been working off the Sandia report and I think that adequately
> describes what is going on in the classes. Let me know if you are aware of
> any differences.

What the moment classes do is described exactly in the class javadoc
inline.  Per comment above, SecondMoment is *not* what the Sandia
reference describes.  West's algorithm is *not* what that reference
describes either.  If you can find a free reference to West's
algorithm for the variance computation I will gladly add it.

> Cheers,
> -Ajo.
> On Sat, Nov 16, 2013 at 11:34 AM, Phil Steitz <> wrote:
>> On 11/16/13 3:55 AM, Ajo Fod wrote:
>>> Hello,
>>> The document:
>>> 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]
>>> This link is already documented in :
>>> *org.apache.commons.math3.stat.correlation.StorelessCovariance*
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