[
https://issues.apache.org/jira/browse/MATH-287?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=12749356#action_12749356
]
Phil Steitz commented on MATH-287:
----------------------------------
I committed a modified version of the patches above in r809448. Changes from
the patch are:
* Clarified javadoc in test(values, weights, begin, end) added to
AbstractUnivariateStatistic.
* Added requirements that weights cannot be infinite or NaN and not all weights
can be zero.
* Added a test to UnivariateStatisticAbstractTest to verify that when weights
are frequency counts, weighted stats behave as expected.
* Changed formula in weighted product to exponentiate rather than multiply the
weights.
* Changed and documented the formula used in weighted variance.
More things to do on these (and others to add):
* Add evaluate(values, weights) - i.e., versions with no start, length
parameters.
* Add tests to verify correct exception behavior on all bad parameter
combinations.
* Replace naive loop in weighted variance with updating formula similar to
unweighted. I committed naive version so the formula would be clear and we
could argue about it ;)
Re the weighted variance computation: there is no standard formula, as what E(X
- E(X))^2 means based on a weighted sample depends on how you look at the
weights. The formula that I used is what the R hmisc package uses by default
and is correct if the weights are frequency counts. The normalization in the
javadoc gives the same result as R when normwt=true.
> Add support for weighted descriptive statistics
> -----------------------------------------------
>
> Key: MATH-287
> URL: https://issues.apache.org/jira/browse/MATH-287
> Project: Commons Math
> Issue Type: New Feature
> Affects Versions: 2.0
> Reporter: Matthew Rowles
> Priority: Minor
> Attachments: weighted.patch, weightTests.patch
>
>
> Add support for weighted descriptive statistics, such as weighted variance.
> An example method call would be Variance.evaluate(double[] values, double[]
> weights, int begin, int length)
> - Suggested by [email protected] on the mailing list.
--
This message is automatically generated by JIRA.
-
You can reply to this email to add a comment to the issue online.
