Iridium Statistics Accumulator: Better numerical stability
The algorithm on how the Mean, Variance and Sigma are incrementally computed in the statisics accumulator (MathNet.Numerics.Statistics.Accumulator) has been improved last week in Iridium revision 503 to provide better numeric stability when dealing with samples with a very large mean but only a small variance.
For example, the variance of normally distributed samples with mean 10e+9 but a variance of only 1 can now be accurately estimated. The previous implementation has been very unstable in that case.
The new algorithm continues to support removing samples from the accumulator (and updates the estimates accordingly).