Okay, from the Wikipedia article,
distribution fitting
appears to be what I feared it might
be.
I'd never do anything like that
and would advise others not do
also.
Why? Because it is not the least
bit clear just what the heck
you get.
Next, likely you should not fit
at all. Instead, if want to
use some distribution with parameters,
e.g., Gaussian, uniform, exponential,
then just estimate the parameters
and not the distribution.
E.g., if you know that the data
is independent, identically distributed
Gaussian, then take the sample
mean and sample variance
and let those be the
two parameters in the Gaussian
distribution.
In that case, will know that the
expectation and variance of the
distribution are the same
as in your data, and that's
good.
That sample mean and variance
are sufficient statistics
for the Gaussian is also a biggie.
And look into the situation for the
rest of the exponential family.
See also the famous
Paul R. Halmos,
"The Theory of Unbiased Estimation",
'Annals of Mathematical Statistics',
Volume 17, Number 1, pages 34-43, 1946.
If want to find the variance of a large
data set, then how much accuracy do you
want? Generally, sample variance
from a few hundred numbers will be okay,
and then don't need to consider
execution on parallel computer hardware.
R. Hamming once wrote, "The purpose
of computing is insight, not numbers."
Along that line, finding sample mean
and variance of a huge data set
promises little or no more
"insight" than just sample
mean and variance of an appropriately
large sample. Of course, we are
assuming that the data is
independent and identically distributed
so that a good sample is easy to find.