Recursive Time-Variance

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To compute variance of a large measurement sequence data, recursive time-variance formula (4) below give more efficient computation and data storage. You don’t need to keep all the measurement data. All you need is to compute the current variance is the current measurement data , current time-average and the previous variance . The formula is as follow

                                             (4)

For time , it is defined that . Thus, the computation using equation (4) starts at .

Using the previous measurement data of 4, 6, 12, 9 we can get exactly the same result of variance as the usual computation method, but in more efficient way. Table below show the example of computation using the recursive time-variance formula above.

See the proof of the formula here

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