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11 11 2010

Thu, 11 Nov 2010

Recursive covariance

[archive]

How to compute the average, variance, covariance, and correlation of two series in a recursive way. That is, starting with the statistic for N items, how does it change when item N+1 is added?

Computing (co)variances recursively.

posted at: 06:15 | path: /en/science | permanent link


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