Re: incremental statistics

Posted by Luigi Ballabio on Aug 27, 2015; 7:29am
URL: http://quantlib.414.s1.nabble.com/incremental-statistics-tp16828p16852.html

Do they have the same behavior? (That is, keep the statistics but discard the data?) If so, yes, it would probably make the code simpler.

Luigi

On Thu, Aug 27, 2015 at 9:17 AM Peter Caspers <[hidden email]> wrote:

... another idea would be to remove the core from
IncrementalStatistics and replace it with boost accumulators (they are
present since 1.36, so it should be ok), just leaving the interface in
place. Shall I do that ?
Peter

On 20 August 2015 at 17:56, Peter Caspers <[hidden email]> wrote:
> Hi,
>
> here
>
> https://github.com/lballabio/quantlib/blob/master/QuantLib/ql/math/statistics/incrementalstatistics.cpp#L56
>
> is a check for a negative variance estimation. Indeed I observe this
> happens due to numerical issues sometimes. However, if this is the
> only source for the exception to be thrown, couldn't we just omit the
> check and return the value or if you want max ( v, 0.0 ) ?
>
> In applications it is somewhat unexpected to get an exception when
> just asking for a variance estimation on valid data.
>
> Thank you
> Peter

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