Small .cpp-file plus testfile that allows for a fast computation of the cumulative sample/population variance vector in R. The implementation is based on Welford's algorithm (Reference: B. P. Welford (1962)."Note on a method for calculating corrected sums of squares and products". Technometrics 4(3):419–420.)
Example:
require(Rcpp)
sourceCpp("src/RcppCumVar.cpp")
testdata <- rnorm(10000)
RcppCumVar(testdata, isSampleVar = TRUE)
RcppCumVar(testdata, isSampleVar = FALSE)