Repository navigation
Preserve streaming covariance precision near large offsets - #5
Merged
Merged
Conversation
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.This suggestion is invalid because no changes were made to the code.Suggestions cannot be applied while the pull request is closed.Suggestions cannot be applied while viewing a subset of changes.Only one suggestion per line can be applied in a batch.Add this suggestion to a batch that can be applied as a single commit.Applying suggestions on deleted lines is not supported.You must change the existing code in this line in order to create a valid suggestion.Outdated suggestions cannot be applied.This suggestion has been applied or marked resolved.Suggestions cannot be applied from pending reviews.Suggestions cannot be applied on multi-line comments.Suggestions cannot be applied while the pull request is queued to merge.Suggestion cannot be applied right now. Please check back later.
Paired Welford updates on observations
(1e16, 1e16)and(1e16 + 2, 1e16 + 2)returned sample covariance 4 instead of the exact value 2: the large-coordinate midpoint cannot be represented as a float.Shift each observation by the first pair before updating the running means and cross-moment. This keeps O(1) streaming state and preserves small deviations near large common offsets. Add exact translation-based regressions for positive and negative covariance and both offset signs; retain the existing standard-library oracle for moderate data.
Validation: 303 tests pass; all doctests, Ruff lint, and formatting pass locally.