Welford's Online algorithm ( Variance Calculations)

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Time Complexity

$O(n)$

Space Complexity

$O({1})$ words

(Maintains O(1) information (count, mean, M2) that is constantly updated as values are read)

Description

Approximate?

Exact

Randomized?

No, deterministic

Model of Computation

Word/Real RAM

Year

1962

Reference

http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.302.7503&rep=rep1&type=pdf

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