On Mon, 23 Mar 2009, Mathieu Bouchard wrote:
You can send simple repeated sequences to [mapping/variance] to show that not only it can drift in the negative values almost endlessly, but it doesn't even compute the variance of N values. This is because there is a moving average of something involving another moving average. This makes a global moving average of 2N-1 values instead of N, and then the window isn't rectangular anymore, it's triangular, because different values are counted different number of times depending on how old they are.
errata: i mean that a moving average of a moving average is another moving average with a different window (the convolution of the two windows), but the case of [mapping/variance] is more complicated because of the extra operations being done, and so there is no easy way to describe it, but you can see that it uses too many values in the same way that the moving average of the moving average does.
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