[Haskell-cafe] Uncertainty analysis library?

[Henning Thielemann]

On Mon, 21 Mar 2011, Tom Nielsen wrote:

> sampler = do
>  x <- gauss 0.0 1.0
>  y <- gauss 0.0 1.0
>  return $ (2*x, x+y)
>
> main = do
>  xys <- take 100000 `fmap` runSamplerIO sampler
>  print $ runStat
>     (both (before varF fst) (before varF snd)) $
>                   xys
>
> => (3.9988971177326498,2.0112123117664975)
> that is,  (variance of 2*x, variance of x+y)

Variances of independent random variables (here x and y) are additive, for 
dependent variables (say, x and x) this does not hold.