On Wed, Sep 14, 2011 at 10:48 AM, Johann Hibschman <[email protected]> wrote: > Raul Miller <[email protected]> writes: >> J's standard deviation routine seems to already be dealing with the >> numerical stability issue. >> [...] >> Or am I overlooking something? > > J's standard deviation routine is perfectly accurate for any sane data. > John Cook gave an (extreme) example where Welford's method gives a > reasonable value the sum-of-squared-deviance method (the one used by J's > stddev) breaks down: > > stddev 1e11+?1e6#0 > 0.538747 > > (He actually goes all the way to 1e12 rather than just 1e11.)
Ok, thanks, I see where I went off track now... But this issue seems easy to work around: stddev (- mean) 1e12+1e6?@$0 0.288806 Are there generic extreme data cases where this approach breaks down and the Welford approach does not? Thanks, -- Raul ---------------------------------------------------------------------- For information about J forums see http://www.jsoftware.com/forums.htm
