Formulas for robust, one-pass parallel computation of covariances and arbitrary-order statistical moments.
Description:
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. Centered statistical moments are one of the most widely used tools in …
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Date:
September 1, 2008
Creator:
Pebay, Philippe Pierre
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Partner:
UNT Libraries Government Documents Department