8000 ENH: Use Kahan summation and Welfords method to calculate rolling var and std by phofl · Pull Request #37055 · pandas-dev/pandas · GitHub
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ENH: Use Kahan summation and Welfords method to calculate rolling var and std #37055

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Merged
merged 10 commits into from
Oct 12, 2020
Merged

ENH: Use Kahan summation and Welfords method to calculate rolling var and std #37055

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5066d54
Implement bedfords algorithm
phofl Oct 11, 2020
9f83a4c
Use kahan summation for var
phofl Oct 11, 2020
214d563
Add whatsnew and adjust comments to reflect new behavior
phofl Oct 11, 2020
602443c
Add test
phofl Oct 11, 2020
a953f46
Delete old comment
phofl Oct 11, 2020
3546935
Fix flake problems
phofl Oct 11, 2020
d29e7c5
Adjust kahan summation and add new tests
phofl Oct 11, 2020
411ba68
Run black
phofl Oct 11, 2020
95d652c
Add old comment
phofl Oct 11, 2020
cfca750
Merge branch 'master' of https://github.com/pandas-dev/pandas into 37051
phofl Oct 12, 2020
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@phofl
phofl committed Oct 11, 2020
commit 411ba688264fb0bed808ec33395405504fb77b4c
2 changes: 1 addition & 1 deletion pandas/tests/window/test_rolling.py
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Expand Up @@ -876,7 +876,7 @@ def test_rolling_period_index(index, window, func, values):
("var", 1, [5e33, 0, 0.5, 0.5, 2, 0]),
("std", 1, [7.071068e16, 0, 0.7071068, 0.7071068, 1.414214, 0]),
("var", 2, [5e33, 0.5, 0, 0.5, 2, 0]),
("std", 2, [7.071068e16, 0.7071068, 0, 0.7071068, 1.414214, 0]),
("std", 2, [7.071068e16, 0.7071068, 0, 0.7071068, 1.414214, 0]),
],
)
def test_rolling_var_numerical_issues(func, third_value, values):
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0