Parallel Algorithm
Chan et al. note that the above online algorithm III is a special case of an algorithm that works for any partition of the sample into sets, :
- .
This may be useful when, for example, multiple processing units may be assigned to discrete parts of the input.
Chan's method for estimating the mean is numerically unstable when and both are large, because the numerical error in is not scaled down in the way that it is in the case. In such cases, prefer .
Read more about this topic: Algorithms For Calculating Variance
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