Gram, Welford, and CGL streaming covariance algorithms are algebraically equivalent with distinct stability and parallelism trade-offs; a conformal framework adds finite-sample, distribution-free entrywise confidence sets that achieve nominal coverage.
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$2B$ or Not $2B$: A Tale of Three Algorithms for Streaming: Covariance Estimation after Welford and Chan-Golub-LeVeque
Gram, Welford, and CGL streaming covariance algorithms are algebraically equivalent with distinct stability and parallelism trade-offs; a conformal framework adds finite-sample, distribution-free entrywise confidence sets that achieve nominal coverage.