Study about accuracy of statistical software, incl. Octave

[Marco Caliari]

> On Tue, Mar 24, 2009 at 8:49 PM, Jason Riedy <jason at acm.org> wrote:
>> And Jaroslav Hajek writes:
>>> But what is the correct answer? Just writing those numbers into Octave
>>> introduces an error ~ 3e-17. I *don't* expect the "correct" answer is
>>> 1e7 + 0.2. You can't expect Octave to guess your actual numbers.
>>
>> I do expect better than a single precision result from std(), however.
>> I'll try to poke at what happens (esp. using DNRM2) this week, although
>> I'd love for someone to beat me to it...
>>
>> Jason
>>
>
> I would be interested in creating improved compiled versions of mean,
> meansq, std and var. Any other good pointers for algorithms than
> wikipedia?

Chan, Tony F.; Golub, Gene H.; LeVeque, Randall J. (1983). Algorithms for 
Computing the Sample Variance: Analysis and Recommendations. The American 
Statistician 37, 242-247.

Ling, Robert F. (1974). Comparison of Several Algorithms for Computing 
Sample Means and Variances. Journal of the American Statistical 
Association, Vol. 69, No. 348, 859-866.

Marco