A while back I was kindly helped with a non iterative algorithm to calculate a weighted average and its variance outlined here http://www.mathhelpforum.com/math-he...-variance.html I need to add Skew now.
From Skewness - Wikipedia, the free encyclopedia Skewness is given as the 3rd moment about the mean divided by standard deviation. Thanks to JakeD I have an algorithm to calculate the weighted average and variance (so SD too) that uses non iterative techniques (you can see that in the first thread). Keeping track of the mean as you go along is trivial. I feel there must be a small modification that could be made to accumulate the 3rd moment but to be frank I think its beyond me. (a simple code head!) I was hoping one of you maths guys might be able to help again. This needs to work on a 'stream' of time series data so I need to be able to calculate as a new piece of data rather than process the whole series each time. Hope someone can help.
Thanks in advance,