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BurntSushi / rust-stats

Basic statistical functions on streams for Rust.
The Unlicense
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Link to Welford paper on streaming algorithms no longer available #12

Open BatmanAoD opened 4 years ago

BatmanAoD commented 4 years ago

The link to Welford.pdf in online.rs (http://goo.gl/qTtI3V in the source code, expanded as http://zach.in.tu-clausthal.de/teaching/info_literatur/Welford.pdf) is broken. Based on the name and the context, I'm guessing that this refers to this paper: https://www.tandfonline.com/doi/abs/10.1080/00401706.1962.10490022

Unfortunately, that link is a paywall, and I haven't (yet) found a non-paywalled version. However, there's another Wikipedia page that directly refers to Welford's work here, which might be useful to link to: https://en.wikipedia.org/wiki/Algorithms_for_calculating_variance#Welford's_online_algorithm

BatmanAoD commented 4 years ago

I also found this blog post that walks through the algorithm in a fair amount of detail: https://changyaochen.github.io/welford/

vks commented 3 years ago

There is also a paper generalizing the algorithm for calculating (weighted) moments of any order: https://doi.org/10.1007/s00180-015-0637-z