Sample Variance

mctad.sampleVariance() accepts an Array of Numbers assumed to be a sample and returns their variance as a Number. Implemented using Welford's algorithm, cited by Knuth. More at the Wikipedia article.

mctad.sampleVariance = function (data) { if (!Array.isArray(data) || data.length === 0 ) { return undefined; } var mean = 0.0, σ2 = 0.0, Δ, n = 0, M2 = 0.0; for (var i = 0; i < data.length; i++) { n++; Δ = data[i] - mean; mean += Δ/n; M2 += Δ * (data[i] - mean); }

Use Bessel's correction since this is sample variance.

σ2 = M2/(n - 1); return σ2; };