BUG: Remove artificial precision limit in rolling var & std #40505
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mroeschke
commented
Mar 18, 2021
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mroeschke
commented
- closes DOC/PERF: Decide how to handle floating point artifacts during rolling calculations #37051, xref BUG: Series rolling standard deviation gives zero for small numbers #40448, xref BUG: pandas.core.window.rolling.Rolling.std gives all-zero output for small numbers #39872
- tests added / passed
- Ensure all linting tests pass, see here for how to run them
- whatsnew entry
mroeschke
changed the title
| @@ -283,10 +283,6 @@ cdef inline float64_t calc_var(int64_t minp, int ddof, float64_t nobs, | |||
| result = 0 | |||
| else: | |||
| result = ssqdm_x / (nobs - <float64_t>ddof) | |||
| # Fix for numerical imprecision. | |||
| # Can be result < 0 once Kahan Summation is implemented | |||
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is there any risk of getting negative variance?
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I don't believe so, no.
jreback
approved these changes
Mar 20, 2021
|
thanks @mroeschke |
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JulianWgs
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Jul 3, 2021
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