David,
> - colVars is very naive, e.g. I'm probably exacerbating
> roundoff error when
> mu >> sigma. I personally don't worry because in finance,
> mu (return) is
> never >> sigma (risk) :-). The S-Plus documentation for
> colVars claims they
> do something fancy with the "two-pass method described in
> Chan, Golub, and
> LeVeque (1983)" that I don't know anything about.
The formula in that paper is essentially
Sum(X-Xbar)^2 - (1/N)(Sum(X - Xbar))^2
which corrects for roundoff errors. This is quite effective, at minimal
computational cost.
Cheers,
Andy
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