Re: [math] Summary Stats Higher Moments?
Hi Phil,
That would be great! I think adding third, fourth moments and skewness,
kurtosis would be a very useful addition.
Also, considering the formulas in Pebay, perhaps a method like
void merge(SummaryStatistics ss) {
// use Pebay update formulas to merge un-normalized moments of ss with
"this"
// if one is singleton use "update" method instead
}
could be added to SummaryStatistics in addition to "update". I realize
AggregateSummaryStatistics takes care of merging 1st,2nd order stats, so
this may be redundant.
If there is something I can do to help, please let me know.
-Mike Brzustowicz
On Wed, Dec 23, 2015 at 5:44 AM, Phil Steitz wrote:
> On 12/22/15 9:58 AM, michael.brzustow...@gmail.com wrote:
> > Hi,
> >
> > I see that
> org.apache.commons.math3.stat.descriptive.DescriptiveStatistics
> > uses the singleton update formulas (from Pebay) for calculating
> > (un-normalized) moments up to the 4th moment. Is there some reason that
> > org.apache.commons.math3.stat.descriptive.SummaryStatistics excludes both
> > third and fourth central moments?
> >
> > Is it just a matter of computational efficiency, ie.
> DescriptiveStatistics
> > calculates moments only when the getter is invoked (and all orders need
> not
> > be calculated at once) while the "storeless" SummaryStatistics would need
> > to calculate all 4 orders at every call to update()?
>
> Yes, that is the reason; but it is really more a matter of no one
> having asked for this feature. You are correct that the updating
> formulas make this possible and the nested nature of the moments
> means that there should not be much cost to adding the third and
> fourth moments. I would be happy to review and apply a patch (with
> tests) adding these.
>
> Phil
>
> > Or is there some other
> > blocker?
> >
> > Thanx,
> > Mike Brzustowicz
> >
>
>
>
> -
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Re: [math] Summary Stats Higher Moments?
On 12/22/15 9:58 AM, michael.brzustow...@gmail.com wrote: > Hi, > > I see that org.apache.commons.math3.stat.descriptive.DescriptiveStatistics > uses the singleton update formulas (from Pebay) for calculating > (un-normalized) moments up to the 4th moment. Is there some reason that > org.apache.commons.math3.stat.descriptive.SummaryStatistics excludes both > third and fourth central moments? > > Is it just a matter of computational efficiency, ie. DescriptiveStatistics > calculates moments only when the getter is invoked (and all orders need not > be calculated at once) while the "storeless" SummaryStatistics would need > to calculate all 4 orders at every call to update()? Yes, that is the reason; but it is really more a matter of no one having asked for this feature. You are correct that the updating formulas make this possible and the nested nature of the moments means that there should not be much cost to adding the third and fourth moments. I would be happy to review and apply a patch (with tests) adding these. Phil > Or is there some other > blocker? > > Thanx, > Mike Brzustowicz > - To unsubscribe, e-mail: user-unsubscr...@commons.apache.org For additional commands, e-mail: user-h...@commons.apache.org
[math] Summary Stats Higher Moments?
Hi, I see that org.apache.commons.math3.stat.descriptive.DescriptiveStatistics uses the singleton update formulas (from Pebay) for calculating (un-normalized) moments up to the 4th moment. Is there some reason that org.apache.commons.math3.stat.descriptive.SummaryStatistics excludes both third and fourth central moments? Is it just a matter of computational efficiency, ie. DescriptiveStatistics calculates moments only when the getter is invoked (and all orders need not be calculated at once) while the "storeless" SummaryStatistics would need to calculate all 4 orders at every call to update()? Or is there some other blocker? Thanx, Mike Brzustowicz
