Real time average and variance with modulo arithmetic

Abstract

The arithmetic mean, and sample variance, are the most common summary statistics of a data set. There are circumstances (within computational loops, and in real-time data analysis, for examples) where it is desirable to maintain a current estimate of the mean and variance. The “lossy” (sometimes called the “running”) mean and variance are frequently useful also. We present an algorithm for these applications, and show the provisions necessary for use with cyclical (e.g. phase-angle) data.

Keywords:

• Real time
• mean
• variance

C.R.Categories:

• G1.0