DOC/PERF: Decide how to handle floating point artifacts during rolling calculations (original) (raw)

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#40505

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DOC/PERF: Decide how to handle floating point artifacts during rolling calculations

#37051

#40505

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DocsNeeds DiscussionRequires discussion from core team before further actionWindowrolling, ewma, expanding

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1.3

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mroeschke

opened

on Oct 11, 2020

Currently we have a check here that artificially handles a numerical precision issue in rolling.var and rolling.std where our rolling variance calculation is carrying forward floating point artifacts. Ideally we should be using a more numerically stable algorithm (maybe Kahan summation) so this check isn't so arbitrary.

pandas/pandas/_libs/window/aggregations.pyx

Line 305 in601eff1

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