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STDEV is numerically unstable #875

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senderista opened this issue Feb 7, 2017 · 0 comments
Open

STDEV is numerically unstable #875

senderista opened this issue Feb 7, 2017 · 0 comments
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senderista commented Feb 7, 2017

Apparently our simple method in DoubleAggregator etc. of calculating running standard deviation is numerically unstable: https://www.johndcook.com/blog/2008/09/26/comparing-three-methods-of-computing-standard-deviation/. There is another one-pass method that is well-behaved (although incomprehensible): https://www.johndcook.com/blog/standard_deviation/. From the experiments described in these blog posts, I expect our current implementation to blow up for lots of users.

@senderista senderista added the Bug label Feb 7, 2017
@senderista senderista self-assigned this Feb 7, 2017
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