Re: incremental statistics

Posted by Luigi Ballabio on Aug 27, 2015; 8:18am
URL: http://quantlib.414.s1.nabble.com/incremental-statistics-tp16828p16854.html

Ok, thanks. (The reason I asked is that the small memory footprint is the very reason IncrementalStatistics is there in the first place. Otherwise, one would just use GeneralStatistics instead.)

On Thu, Aug 27, 2015 at 10:45 AM Peter Caspers <[hidden email]> wrote:

This will in general depend on the specific accumulator, but I would
assume so for the ones we need here. The documentation isn't overly
explicit about that, the only hint seems to be

"This works, but some accumulators are not cheap to copy. For example,
the tail andtail_variate<> accumulators must store a std::vector<>, so
copying these accumulators involves a dynamic allocation."

 I will test the memory usage though, to be sure.

Peter


On 27 August 2015 at 09:58, Luigi Ballabio <[hidden email]> wrote:
> 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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