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