Formulas for robust, one-pass parallel computation of covariances and arbitrary-order statistical moments. Page: 3 of 18
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Printed September 2008
Formulas for Robust, One-Pass Parallel
Computation of Covariances and Arbitrary-Order
Sandia National Laboratories
M.S. 9159, P.O. Box 969
Livermore, CA 94551, U.S.A.
We present a formula for the pairwise update of arbitrary-order centered statistical moments.
This formula is of particular interest to compute such moments in parallel for large-scale,
distributed data sets. As a corollary, we indicate a specialization of this formula for incremental
updates, of particular interest to streaming implementations. Finally, we provide pairwise and
incremental update formulas for the covariance.
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Pebay, Philippe Pierre. Formulas for robust, one-pass parallel computation of covariances and arbitrary-order statistical moments., report, September 1, 2008; United States. (digital.library.unt.edu/ark:/67531/metadc837537/m1/3/: accessed November 22, 2018), University of North Texas Libraries, Digital Library, digital.library.unt.edu; crediting UNT Libraries Government Documents Department.