How is Welford's Algorithm derived?Variance of a Derived Distribution from a Bernoulli ProcessHow to prove an equality envolving variance and covarianceHow to derive the variance of a point estimator that contains another estimator?inequality derived from law of total varianceHint for computing the mean and variance of $hatalpha = - fracnlog prod_i=1^n X_i $Scale Parameter of Rayleigh DistributionMinimum mean squared error of an estimator of the variance of the normal distributionHow to calculate the variance of a continuous distribution function but with a mass point?Standard Error of Coefficients in simple Linear RegressionShowing that an estimator for covariance is consistent?

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How is Welford's Algorithm derived?


Variance of a Derived Distribution from a Bernoulli ProcessHow to prove an equality envolving variance and covarianceHow to derive the variance of a point estimator that contains another estimator?inequality derived from law of total varianceHint for computing the mean and variance of $hatalpha = - fracnlog prod_i=1^n X_i $Scale Parameter of Rayleigh DistributionMinimum mean squared error of an estimator of the variance of the normal distributionHow to calculate the variance of a continuous distribution function but with a mass point?Standard Error of Coefficients in simple Linear RegressionShowing that an estimator for covariance is consistent?













1












$begingroup$


I am having some trouble understanding how part of this formula is derived.



Taken from:
http://jonisalonen.com/2013/deriving-welfords-method-for-computing-variance/



$(x_N−barx_N)^2+sum_i=1^N−1(x_i−barx_N+x_i−barx_N−1)(barx_N−1–barx_N)$
$=(x_N−barx_N)^2+(barx_N–x_N)(barx_N−1–barx_N)$



I can't seem to derive the right side from the left.



Any help explaining this would be greatly appreciated! Thanks.










share|cite|improve this question











$endgroup$
















    1












    $begingroup$


    I am having some trouble understanding how part of this formula is derived.



    Taken from:
    http://jonisalonen.com/2013/deriving-welfords-method-for-computing-variance/



    $(x_N−barx_N)^2+sum_i=1^N−1(x_i−barx_N+x_i−barx_N−1)(barx_N−1–barx_N)$
    $=(x_N−barx_N)^2+(barx_N–x_N)(barx_N−1–barx_N)$



    I can't seem to derive the right side from the left.



    Any help explaining this would be greatly appreciated! Thanks.










    share|cite|improve this question











    $endgroup$














      1












      1








      1





      $begingroup$


      I am having some trouble understanding how part of this formula is derived.



      Taken from:
      http://jonisalonen.com/2013/deriving-welfords-method-for-computing-variance/



      $(x_N−barx_N)^2+sum_i=1^N−1(x_i−barx_N+x_i−barx_N−1)(barx_N−1–barx_N)$
      $=(x_N−barx_N)^2+(barx_N–x_N)(barx_N−1–barx_N)$



      I can't seem to derive the right side from the left.



      Any help explaining this would be greatly appreciated! Thanks.










      share|cite|improve this question











      $endgroup$




      I am having some trouble understanding how part of this formula is derived.



      Taken from:
      http://jonisalonen.com/2013/deriving-welfords-method-for-computing-variance/



      $(x_N−barx_N)^2+sum_i=1^N−1(x_i−barx_N+x_i−barx_N−1)(barx_N−1–barx_N)$
      $=(x_N−barx_N)^2+(barx_N–x_N)(barx_N−1–barx_N)$



      I can't seem to derive the right side from the left.



      Any help explaining this would be greatly appreciated! Thanks.







      variance sampling-theory






      share|cite|improve this question















      share|cite|improve this question













      share|cite|improve this question




      share|cite|improve this question








      edited Aug 9 '18 at 6:08









      joriki

      171k10188349




      171k10188349










      asked May 27 '18 at 14:49









      Isaac NgIsaac Ng

      111




      111




















          2 Answers
          2






          active

          oldest

          votes


















          2












          $begingroup$

          I think the key is understanding:



          enter image description here



          and also:



          enter image description here



          The above reduces to:



          enter image description here



          This is a good post: https://alessior.wordpress.com/2017/10/09/onlinerecursive-variance-calculation-welfords-method/






          share|cite|improve this answer









          $endgroup$




















            0












            $begingroup$

            The key to understanding is the following algebraic identity:
            $$sum_i=1^N (x_i − barx_N) = 0$$
            which basically says that the algebraic sum of deviations from the mean is zero. It is quite straightforward to derive this from the definition of mean:



            $$ barx_N = frac1N sum_i=1^N x_i$$



            This can be rewritten as:
            $$ N barx_N = sum_i=1^N x_i$$



            Since mean ($barx_N $) is a constant you can rewrite multiplying it by $N$ as adding it $N$ times:
            $$ implies sum_i=1^N barx_N = sum_i=1^N x_i $$



            Which reduces to:
            $$sum_i=1^N (x_i − barx_N) = 0$$




            Now let us look at the summation on the LHS
            $$sum_i=1^N−1(x_i−barx_N + x_i−barx_N−1)
            = sum_i=1^N−1((x_i−barx_N) + (x_i−barx_N−1)) \
            = sum_i=1^N−1(x_i−barx_N) +sum_i=1^N−1 (x_i−barx_N−1)$$



            Now apply the identity stated in the beginning to the above equation, the second term vanishes on the RHS.
            $$sum_i=1^N−1(x_i−barx_N) +sum_i=1^N−1 (x_i−barx_N−1)
            = sum_i=1^N−1(x_i−barx_N) + 0 $$



            We just need a little more algebraic manipulation for the first term on the RHS.
            We need the index $i$ to go from $1$ to $N$.



            beginalign
            sum_i=1^N−1(x_i−barx_N)
            &= left(sum_i=1^N-1(x_i−barx_N) right) + (x_N −barx_N) - (x_N −barx_N) \
            &= left(sum_i=1^N-1(x_i−barx_N) + (x_N −barx_N) right) - (x_N −barx_N) \
            &= left(sum_i=1^N(x_i−barx_N) right) - (x_N −barx_N)
            endalign



            The first term on the LHS vanishes leading to:
            $$sum_i=1^N−1(x_i−barx_N) = (barx_N − x_N) $$




            We have now derived
            $$sum_i=1^N−1(x_i−barx_N + x_i−barx_N−1) = (barx_N − x_N) $$



            and plug this into the following equation:



            beginalign
            (x_N−barx_N)^2 + sum_i=1^N−1(x_i−barx_N+x_i−barx_N−1)(barx_N−1–barx_N)
            &= (x_N−barx_N)^2 + (barx_N−1–barx_N) sum_i=1^N−1(x_i−barx_N+x_i−barx_N−1) \
            &= (x_N−barx_N)^2 + (barx_N−1–barx_N) (barx_N − x_N)
            endalign



            which completes the derivation.




            One can simplify this expression further:



            beginalign
            (x_N−barx_N)^2 + (barx_N−1–barx_N) (barx_N − x_N)
            &= (x_N−barx_N) left [ (x_N−barx_N) - (barx_N−1–barx_N) right ] \
            &= (x_N−barx_N) (x_N − barx_N−1)
            endalign






            share|cite|improve this answer











            $endgroup$












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              2 Answers
              2






              active

              oldest

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              2 Answers
              2






              active

              oldest

              votes









              active

              oldest

              votes






              active

              oldest

              votes









              2












              $begingroup$

              I think the key is understanding:



              enter image description here



              and also:



              enter image description here



              The above reduces to:



              enter image description here



              This is a good post: https://alessior.wordpress.com/2017/10/09/onlinerecursive-variance-calculation-welfords-method/






              share|cite|improve this answer









              $endgroup$

















                2












                $begingroup$

                I think the key is understanding:



                enter image description here



                and also:



                enter image description here



                The above reduces to:



                enter image description here



                This is a good post: https://alessior.wordpress.com/2017/10/09/onlinerecursive-variance-calculation-welfords-method/






                share|cite|improve this answer









                $endgroup$















                  2












                  2








                  2





                  $begingroup$

                  I think the key is understanding:



                  enter image description here



                  and also:



                  enter image description here



                  The above reduces to:



                  enter image description here



                  This is a good post: https://alessior.wordpress.com/2017/10/09/onlinerecursive-variance-calculation-welfords-method/






                  share|cite|improve this answer









                  $endgroup$



                  I think the key is understanding:



                  enter image description here



                  and also:



                  enter image description here



                  The above reduces to:



                  enter image description here



                  This is a good post: https://alessior.wordpress.com/2017/10/09/onlinerecursive-variance-calculation-welfords-method/







                  share|cite|improve this answer












                  share|cite|improve this answer



                  share|cite|improve this answer










                  answered Jun 19 '18 at 0:23









                  JerryHJerryH

                  312




                  312





















                      0












                      $begingroup$

                      The key to understanding is the following algebraic identity:
                      $$sum_i=1^N (x_i − barx_N) = 0$$
                      which basically says that the algebraic sum of deviations from the mean is zero. It is quite straightforward to derive this from the definition of mean:



                      $$ barx_N = frac1N sum_i=1^N x_i$$



                      This can be rewritten as:
                      $$ N barx_N = sum_i=1^N x_i$$



                      Since mean ($barx_N $) is a constant you can rewrite multiplying it by $N$ as adding it $N$ times:
                      $$ implies sum_i=1^N barx_N = sum_i=1^N x_i $$



                      Which reduces to:
                      $$sum_i=1^N (x_i − barx_N) = 0$$




                      Now let us look at the summation on the LHS
                      $$sum_i=1^N−1(x_i−barx_N + x_i−barx_N−1)
                      = sum_i=1^N−1((x_i−barx_N) + (x_i−barx_N−1)) \
                      = sum_i=1^N−1(x_i−barx_N) +sum_i=1^N−1 (x_i−barx_N−1)$$



                      Now apply the identity stated in the beginning to the above equation, the second term vanishes on the RHS.
                      $$sum_i=1^N−1(x_i−barx_N) +sum_i=1^N−1 (x_i−barx_N−1)
                      = sum_i=1^N−1(x_i−barx_N) + 0 $$



                      We just need a little more algebraic manipulation for the first term on the RHS.
                      We need the index $i$ to go from $1$ to $N$.



                      beginalign
                      sum_i=1^N−1(x_i−barx_N)
                      &= left(sum_i=1^N-1(x_i−barx_N) right) + (x_N −barx_N) - (x_N −barx_N) \
                      &= left(sum_i=1^N-1(x_i−barx_N) + (x_N −barx_N) right) - (x_N −barx_N) \
                      &= left(sum_i=1^N(x_i−barx_N) right) - (x_N −barx_N)
                      endalign



                      The first term on the LHS vanishes leading to:
                      $$sum_i=1^N−1(x_i−barx_N) = (barx_N − x_N) $$




                      We have now derived
                      $$sum_i=1^N−1(x_i−barx_N + x_i−barx_N−1) = (barx_N − x_N) $$



                      and plug this into the following equation:



                      beginalign
                      (x_N−barx_N)^2 + sum_i=1^N−1(x_i−barx_N+x_i−barx_N−1)(barx_N−1–barx_N)
                      &= (x_N−barx_N)^2 + (barx_N−1–barx_N) sum_i=1^N−1(x_i−barx_N+x_i−barx_N−1) \
                      &= (x_N−barx_N)^2 + (barx_N−1–barx_N) (barx_N − x_N)
                      endalign



                      which completes the derivation.




                      One can simplify this expression further:



                      beginalign
                      (x_N−barx_N)^2 + (barx_N−1–barx_N) (barx_N − x_N)
                      &= (x_N−barx_N) left [ (x_N−barx_N) - (barx_N−1–barx_N) right ] \
                      &= (x_N−barx_N) (x_N − barx_N−1)
                      endalign






                      share|cite|improve this answer











                      $endgroup$

















                        0












                        $begingroup$

                        The key to understanding is the following algebraic identity:
                        $$sum_i=1^N (x_i − barx_N) = 0$$
                        which basically says that the algebraic sum of deviations from the mean is zero. It is quite straightforward to derive this from the definition of mean:



                        $$ barx_N = frac1N sum_i=1^N x_i$$



                        This can be rewritten as:
                        $$ N barx_N = sum_i=1^N x_i$$



                        Since mean ($barx_N $) is a constant you can rewrite multiplying it by $N$ as adding it $N$ times:
                        $$ implies sum_i=1^N barx_N = sum_i=1^N x_i $$



                        Which reduces to:
                        $$sum_i=1^N (x_i − barx_N) = 0$$




                        Now let us look at the summation on the LHS
                        $$sum_i=1^N−1(x_i−barx_N + x_i−barx_N−1)
                        = sum_i=1^N−1((x_i−barx_N) + (x_i−barx_N−1)) \
                        = sum_i=1^N−1(x_i−barx_N) +sum_i=1^N−1 (x_i−barx_N−1)$$



                        Now apply the identity stated in the beginning to the above equation, the second term vanishes on the RHS.
                        $$sum_i=1^N−1(x_i−barx_N) +sum_i=1^N−1 (x_i−barx_N−1)
                        = sum_i=1^N−1(x_i−barx_N) + 0 $$



                        We just need a little more algebraic manipulation for the first term on the RHS.
                        We need the index $i$ to go from $1$ to $N$.



                        beginalign
                        sum_i=1^N−1(x_i−barx_N)
                        &= left(sum_i=1^N-1(x_i−barx_N) right) + (x_N −barx_N) - (x_N −barx_N) \
                        &= left(sum_i=1^N-1(x_i−barx_N) + (x_N −barx_N) right) - (x_N −barx_N) \
                        &= left(sum_i=1^N(x_i−barx_N) right) - (x_N −barx_N)
                        endalign



                        The first term on the LHS vanishes leading to:
                        $$sum_i=1^N−1(x_i−barx_N) = (barx_N − x_N) $$




                        We have now derived
                        $$sum_i=1^N−1(x_i−barx_N + x_i−barx_N−1) = (barx_N − x_N) $$



                        and plug this into the following equation:



                        beginalign
                        (x_N−barx_N)^2 + sum_i=1^N−1(x_i−barx_N+x_i−barx_N−1)(barx_N−1–barx_N)
                        &= (x_N−barx_N)^2 + (barx_N−1–barx_N) sum_i=1^N−1(x_i−barx_N+x_i−barx_N−1) \
                        &= (x_N−barx_N)^2 + (barx_N−1–barx_N) (barx_N − x_N)
                        endalign



                        which completes the derivation.




                        One can simplify this expression further:



                        beginalign
                        (x_N−barx_N)^2 + (barx_N−1–barx_N) (barx_N − x_N)
                        &= (x_N−barx_N) left [ (x_N−barx_N) - (barx_N−1–barx_N) right ] \
                        &= (x_N−barx_N) (x_N − barx_N−1)
                        endalign






                        share|cite|improve this answer











                        $endgroup$















                          0












                          0








                          0





                          $begingroup$

                          The key to understanding is the following algebraic identity:
                          $$sum_i=1^N (x_i − barx_N) = 0$$
                          which basically says that the algebraic sum of deviations from the mean is zero. It is quite straightforward to derive this from the definition of mean:



                          $$ barx_N = frac1N sum_i=1^N x_i$$



                          This can be rewritten as:
                          $$ N barx_N = sum_i=1^N x_i$$



                          Since mean ($barx_N $) is a constant you can rewrite multiplying it by $N$ as adding it $N$ times:
                          $$ implies sum_i=1^N barx_N = sum_i=1^N x_i $$



                          Which reduces to:
                          $$sum_i=1^N (x_i − barx_N) = 0$$




                          Now let us look at the summation on the LHS
                          $$sum_i=1^N−1(x_i−barx_N + x_i−barx_N−1)
                          = sum_i=1^N−1((x_i−barx_N) + (x_i−barx_N−1)) \
                          = sum_i=1^N−1(x_i−barx_N) +sum_i=1^N−1 (x_i−barx_N−1)$$



                          Now apply the identity stated in the beginning to the above equation, the second term vanishes on the RHS.
                          $$sum_i=1^N−1(x_i−barx_N) +sum_i=1^N−1 (x_i−barx_N−1)
                          = sum_i=1^N−1(x_i−barx_N) + 0 $$



                          We just need a little more algebraic manipulation for the first term on the RHS.
                          We need the index $i$ to go from $1$ to $N$.



                          beginalign
                          sum_i=1^N−1(x_i−barx_N)
                          &= left(sum_i=1^N-1(x_i−barx_N) right) + (x_N −barx_N) - (x_N −barx_N) \
                          &= left(sum_i=1^N-1(x_i−barx_N) + (x_N −barx_N) right) - (x_N −barx_N) \
                          &= left(sum_i=1^N(x_i−barx_N) right) - (x_N −barx_N)
                          endalign



                          The first term on the LHS vanishes leading to:
                          $$sum_i=1^N−1(x_i−barx_N) = (barx_N − x_N) $$




                          We have now derived
                          $$sum_i=1^N−1(x_i−barx_N + x_i−barx_N−1) = (barx_N − x_N) $$



                          and plug this into the following equation:



                          beginalign
                          (x_N−barx_N)^2 + sum_i=1^N−1(x_i−barx_N+x_i−barx_N−1)(barx_N−1–barx_N)
                          &= (x_N−barx_N)^2 + (barx_N−1–barx_N) sum_i=1^N−1(x_i−barx_N+x_i−barx_N−1) \
                          &= (x_N−barx_N)^2 + (barx_N−1–barx_N) (barx_N − x_N)
                          endalign



                          which completes the derivation.




                          One can simplify this expression further:



                          beginalign
                          (x_N−barx_N)^2 + (barx_N−1–barx_N) (barx_N − x_N)
                          &= (x_N−barx_N) left [ (x_N−barx_N) - (barx_N−1–barx_N) right ] \
                          &= (x_N−barx_N) (x_N − barx_N−1)
                          endalign






                          share|cite|improve this answer











                          $endgroup$



                          The key to understanding is the following algebraic identity:
                          $$sum_i=1^N (x_i − barx_N) = 0$$
                          which basically says that the algebraic sum of deviations from the mean is zero. It is quite straightforward to derive this from the definition of mean:



                          $$ barx_N = frac1N sum_i=1^N x_i$$



                          This can be rewritten as:
                          $$ N barx_N = sum_i=1^N x_i$$



                          Since mean ($barx_N $) is a constant you can rewrite multiplying it by $N$ as adding it $N$ times:
                          $$ implies sum_i=1^N barx_N = sum_i=1^N x_i $$



                          Which reduces to:
                          $$sum_i=1^N (x_i − barx_N) = 0$$




                          Now let us look at the summation on the LHS
                          $$sum_i=1^N−1(x_i−barx_N + x_i−barx_N−1)
                          = sum_i=1^N−1((x_i−barx_N) + (x_i−barx_N−1)) \
                          = sum_i=1^N−1(x_i−barx_N) +sum_i=1^N−1 (x_i−barx_N−1)$$



                          Now apply the identity stated in the beginning to the above equation, the second term vanishes on the RHS.
                          $$sum_i=1^N−1(x_i−barx_N) +sum_i=1^N−1 (x_i−barx_N−1)
                          = sum_i=1^N−1(x_i−barx_N) + 0 $$



                          We just need a little more algebraic manipulation for the first term on the RHS.
                          We need the index $i$ to go from $1$ to $N$.



                          beginalign
                          sum_i=1^N−1(x_i−barx_N)
                          &= left(sum_i=1^N-1(x_i−barx_N) right) + (x_N −barx_N) - (x_N −barx_N) \
                          &= left(sum_i=1^N-1(x_i−barx_N) + (x_N −barx_N) right) - (x_N −barx_N) \
                          &= left(sum_i=1^N(x_i−barx_N) right) - (x_N −barx_N)
                          endalign



                          The first term on the LHS vanishes leading to:
                          $$sum_i=1^N−1(x_i−barx_N) = (barx_N − x_N) $$




                          We have now derived
                          $$sum_i=1^N−1(x_i−barx_N + x_i−barx_N−1) = (barx_N − x_N) $$



                          and plug this into the following equation:



                          beginalign
                          (x_N−barx_N)^2 + sum_i=1^N−1(x_i−barx_N+x_i−barx_N−1)(barx_N−1–barx_N)
                          &= (x_N−barx_N)^2 + (barx_N−1–barx_N) sum_i=1^N−1(x_i−barx_N+x_i−barx_N−1) \
                          &= (x_N−barx_N)^2 + (barx_N−1–barx_N) (barx_N − x_N)
                          endalign



                          which completes the derivation.




                          One can simplify this expression further:



                          beginalign
                          (x_N−barx_N)^2 + (barx_N−1–barx_N) (barx_N − x_N)
                          &= (x_N−barx_N) left [ (x_N−barx_N) - (barx_N−1–barx_N) right ] \
                          &= (x_N−barx_N) (x_N − barx_N−1)
                          endalign







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