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Merge dev into main: v0.8.7 Kahan compensated summation

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Miha Kralj
2026-03-13 22:01:52 -07:00
parent 86a1db286c 67ad6f0cba
commit 9697facfb4
79 changed files with 2923 additions and 2495 deletions
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lib/statistics/granger/Granger.cs
+73 -68
View File
@@ -14,7 +14,8 @@ namespace QuanTAlib;
/// 3. F = ((SSR1 - SSR2) / 1) / (SSR2 / (N - 3))
///
/// Higher F-statistic values indicate stronger evidence that X Granger-causes Y.
/// The indicator uses running sums for O(1) streaming updates.
/// The indicator uses running sums with Kahan compensated summation for O(1)
/// streaming updates with numerical stability over long streams.
/// Period must be greater than 3 (need N-3 > 0 degrees of freedom).
/// </remarks>
[SkipLocalsInit]
@@ -29,6 +30,16 @@ public sealed class Granger : AbstractBase
private double _sumYY, _sumYLagYLag, _sumXLagXLag;
private double _sumYYLag, _sumYXLag, _sumYLagXLag;
// Kahan compensation terms
private double _sumYComp, _sumYLagComp, _sumXLagComp;
private double _sumYYComp, _sumYLagYLagComp, _sumXLagXLagComp;
private double _sumYYLagComp, _sumYXLagComp, _sumYLagXLagComp;
// Previous compensation state for rollback
private double _p_sumYComp, _p_sumYLagComp, _p_sumXLagComp;
private double _p_sumYYComp, _p_sumYLagYLagComp, _p_sumXLagXLagComp;
private double _p_sumYYLagComp, _p_sumYXLagComp, _p_sumYLagXLagComp;
// Previous values for lag computation
private double _prevY, _prevX;
private double _p_prevY, _p_prevX;
@@ -44,8 +55,6 @@ public sealed class Granger : AbstractBase
private double _lastValidY, _lastValidX;
private double _p_lastValidY, _p_lastValidX;
private int _updateCount;
private const int ResyncInterval = 1000;
private const double Epsilon = 1e-10;
/// <inheritdoc />
@@ -112,7 +121,8 @@ public sealed class Granger : AbstractBase
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public TValue Update(double seriesY, double seriesX, bool isNew = true)
{
return Update(new TValue(DateTime.UtcNow, seriesY), new TValue(DateTime.UtcNow, seriesX), isNew);
DateTime now = DateTime.UtcNow;
return Update(new TValue(now, seriesY), new TValue(now, seriesX), isNew);
}
/// <summary>Not supported. This indicator requires two inputs; use <see cref="Update(TValue, TValue, bool)"/> instead.</summary>
/// <remarks>Not supported for dual-input indicator. Use Update(seriesY, seriesX) instead.</remarks>
@@ -158,6 +168,15 @@ public sealed class Granger : AbstractBase
_p_prevY = _prevY;
_p_prevX = _prevX;
_p_hasPrev = _hasPrev;
_p_sumYComp = _sumYComp;
_p_sumYLagComp = _sumYLagComp;
_p_sumXLagComp = _sumXLagComp;
_p_sumYYComp = _sumYYComp;
_p_sumYLagYLagComp = _sumYLagYLagComp;
_p_sumXLagXLagComp = _sumXLagXLagComp;
_p_sumYYLagComp = _sumYYLagComp;
_p_sumYXLagComp = _sumYXLagComp;
_p_sumYLagXLagComp = _sumYLagXLagComp;
if (_hasPrev)
{
@@ -171,15 +190,15 @@ public sealed class Granger : AbstractBase
double oldYLag = _windowYLag.Oldest;
double oldXLag = _windowXLag.Oldest;
_sumY -= oldY;
_sumYLag -= oldYLag;
_sumXLag -= oldXLag;
_sumYY = FusedMultiplyAdd(-oldY, oldY, _sumYY);
_sumYLagYLag = FusedMultiplyAdd(-oldYLag, oldYLag, _sumYLagYLag);
_sumXLagXLag = FusedMultiplyAdd(-oldXLag, oldXLag, _sumXLagXLag);
_sumYYLag = FusedMultiplyAdd(-oldY, oldYLag, _sumYYLag);
_sumYXLag = FusedMultiplyAdd(-oldY, oldXLag, _sumYXLag);
_sumYLagXLag = FusedMultiplyAdd(-oldYLag, oldXLag, _sumYLagXLag);
{ double yk = -oldY - _sumYComp; double t = _sumY + yk; _sumYComp = (t - _sumY) - yk; _sumY = t; }
{ double yk = -oldYLag - _sumYLagComp; double t = _sumYLag + yk; _sumYLagComp = (t - _sumYLag) - yk; _sumYLag = t; }
{ double yk = -oldXLag - _sumXLagComp; double t = _sumXLag + yk; _sumXLagComp = (t - _sumXLag) - yk; _sumXLag = t; }
{ double yk = -(oldY * oldY) - _sumYYComp; double t = _sumYY + yk; _sumYYComp = (t - _sumYY) - yk; _sumYY = t; }
{ double yk = -(oldYLag * oldYLag) - _sumYLagYLagComp; double t = _sumYLagYLag + yk; _sumYLagYLagComp = (t - _sumYLagYLag) - yk; _sumYLagYLag = t; }
{ double yk = -(oldXLag * oldXLag) - _sumXLagXLagComp; double t = _sumXLagXLag + yk; _sumXLagXLagComp = (t - _sumXLagXLag) - yk; _sumXLagXLag = t; }
{ double yk = -(oldY * oldYLag) - _sumYYLagComp; double t = _sumYYLag + yk; _sumYYLagComp = (t - _sumYYLag) - yk; _sumYYLag = t; }
{ double yk = -(oldY * oldXLag) - _sumYXLagComp; double t = _sumYXLag + yk; _sumYXLagComp = (t - _sumYXLag) - yk; _sumYXLag = t; }
{ double yk = -(oldYLag * oldXLag) - _sumYLagXLagComp; double t = _sumYLagXLag + yk; _sumYLagXLagComp = (t - _sumYLagXLag) - yk; _sumYLagXLag = t; }
}
// Add new triplet
@@ -187,26 +206,20 @@ public sealed class Granger : AbstractBase
_windowYLag.Add(yLag);
_windowXLag.Add(xLag);
_sumY += y;
_sumYLag += yLag;
_sumXLag += xLag;
_sumYY = FusedMultiplyAdd(y, y, _sumYY);
_sumYLagYLag = FusedMultiplyAdd(yLag, yLag, _sumYLagYLag);
_sumXLagXLag = FusedMultiplyAdd(xLag, xLag, _sumXLagXLag);
_sumYYLag = FusedMultiplyAdd(y, yLag, _sumYYLag);
_sumYXLag = FusedMultiplyAdd(y, xLag, _sumYXLag);
_sumYLagXLag = FusedMultiplyAdd(yLag, xLag, _sumYLagXLag);
{ double yk = y - _sumYComp; double t = _sumY + yk; _sumYComp = (t - _sumY) - yk; _sumY = t; }
{ double yk = yLag - _sumYLagComp; double t = _sumYLag + yk; _sumYLagComp = (t - _sumYLag) - yk; _sumYLag = t; }
{ double yk = xLag - _sumXLagComp; double t = _sumXLag + yk; _sumXLagComp = (t - _sumXLag) - yk; _sumXLag = t; }
{ double yk = (y * y) - _sumYYComp; double t = _sumYY + yk; _sumYYComp = (t - _sumYY) - yk; _sumYY = t; }
{ double yk = (yLag * yLag) - _sumYLagYLagComp; double t = _sumYLagYLag + yk; _sumYLagYLagComp = (t - _sumYLagYLag) - yk; _sumYLagYLag = t; }
{ double yk = (xLag * xLag) - _sumXLagXLagComp; double t = _sumXLagXLag + yk; _sumXLagXLagComp = (t - _sumXLagXLag) - yk; _sumXLagXLag = t; }
{ double yk = (y * yLag) - _sumYYLagComp; double t = _sumYYLag + yk; _sumYYLagComp = (t - _sumYYLag) - yk; _sumYYLag = t; }
{ double yk = (y * xLag) - _sumYXLagComp; double t = _sumYXLag + yk; _sumYXLagComp = (t - _sumYXLag) - yk; _sumYXLag = t; }
{ double yk = (yLag * xLag) - _sumYLagXLagComp; double t = _sumYLagXLag + yk; _sumYLagXLagComp = (t - _sumYLagXLag) - yk; _sumYLagXLag = t; }
}
_prevY = y;
_prevX = x;
_hasPrev = true;
_updateCount++;
if (_updateCount % ResyncInterval == 0)
{
Resync();
}
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
@@ -218,6 +231,15 @@ public sealed class Granger : AbstractBase
_prevY = _p_prevY;
_prevX = _p_prevX;
_hasPrev = _p_hasPrev;
_sumYComp = _p_sumYComp;
_sumYLagComp = _p_sumYLagComp;
_sumXLagComp = _p_sumXLagComp;
_sumYYComp = _p_sumYYComp;
_sumYLagYLagComp = _p_sumYLagYLagComp;
_sumXLagXLagComp = _p_sumXLagXLagComp;
_sumYYLagComp = _p_sumYYLagComp;
_sumYXLagComp = _p_sumYXLagComp;
_sumYLagXLagComp = _p_sumYLagXLagComp;
if (_hasPrev)
{
@@ -230,16 +252,16 @@ public sealed class Granger : AbstractBase
double oldYLag = _windowYLag.Newest;
double oldXLag = _windowXLag.Newest;
// Replace newest values
_sumY += y - oldY;
_sumYLag += yLag - oldYLag;
_sumXLag += xLag - oldXLag;
_sumYY = FusedMultiplyAdd(y, y, FusedMultiplyAdd(-oldY, oldY, _sumYY));
_sumYLagYLag = FusedMultiplyAdd(yLag, yLag, FusedMultiplyAdd(-oldYLag, oldYLag, _sumYLagYLag));
_sumXLagXLag = FusedMultiplyAdd(xLag, xLag, FusedMultiplyAdd(-oldXLag, oldXLag, _sumXLagXLag));
_sumYYLag = FusedMultiplyAdd(y, yLag, FusedMultiplyAdd(-oldY, oldYLag, _sumYYLag));
_sumYXLag = FusedMultiplyAdd(y, xLag, FusedMultiplyAdd(-oldY, oldXLag, _sumYXLag));
_sumYLagXLag = FusedMultiplyAdd(yLag, xLag, FusedMultiplyAdd(-oldYLag, oldXLag, _sumYLagXLag));
// Replace newest values with Kahan
{ double yk = (-oldY + y) - _sumYComp; double t = _sumY + yk; _sumYComp = (t - _sumY) - yk; _sumY = t; }
{ double yk = (-oldYLag + yLag) - _sumYLagComp; double t = _sumYLag + yk; _sumYLagComp = (t - _sumYLag) - yk; _sumYLag = t; }
{ double yk = (-oldXLag + xLag) - _sumXLagComp; double t = _sumXLag + yk; _sumXLagComp = (t - _sumXLag) - yk; _sumXLag = t; }
{ double yk = (-(oldY * oldY) + (y * y)) - _sumYYComp; double t = _sumYY + yk; _sumYYComp = (t - _sumYY) - yk; _sumYY = t; }
{ double yk = (-(oldYLag * oldYLag) + (yLag * yLag)) - _sumYLagYLagComp; double t = _sumYLagYLag + yk; _sumYLagYLagComp = (t - _sumYLagYLag) - yk; _sumYLagYLag = t; }
{ double yk = (-(oldXLag * oldXLag) + (xLag * xLag)) - _sumXLagXLagComp; double t = _sumXLagXLag + yk; _sumXLagXLagComp = (t - _sumXLagXLag) - yk; _sumXLagXLag = t; }
{ double yk = (-(oldY * oldYLag) + (y * yLag)) - _sumYYLagComp; double t = _sumYYLag + yk; _sumYYLagComp = (t - _sumYYLag) - yk; _sumYYLag = t; }
{ double yk = (-(oldY * oldXLag) + (y * xLag)) - _sumYXLagComp; double t = _sumYXLag + yk; _sumYXLagComp = (t - _sumYXLag) - yk; _sumYXLag = t; }
{ double yk = (-(oldYLag * oldXLag) + (yLag * xLag)) - _sumYLagXLagComp; double t = _sumYLagXLag + yk; _sumYLagXLagComp = (t - _sumYLagXLag) - yk; _sumYLagXLag = t; }
_windowY.UpdateNewest(y);
_windowYLag.UpdateNewest(yLag);
@@ -259,6 +281,9 @@ public sealed class Granger : AbstractBase
_sumYYLag = y * yLag;
_sumYXLag = y * xLag;
_sumYLagXLag = yLag * xLag;
_sumYComp = 0; _sumYLagComp = 0; _sumXLagComp = 0;
_sumYYComp = 0; _sumYLagYLagComp = 0; _sumXLagXLagComp = 0;
_sumYYLagComp = 0; _sumYXLagComp = 0; _sumYLagXLagComp = 0;
}
}
@@ -345,35 +370,6 @@ public sealed class Granger : AbstractBase
return Max(0.0, fStat);
}
private void Resync()
{
_sumY = 0;
_sumYLag = 0;
_sumXLag = 0;
_sumYY = 0;
_sumYLagYLag = 0;
_sumXLagXLag = 0;
_sumYYLag = 0;
_sumYXLag = 0;
_sumYLagXLag = 0;
for (int i = 0; i < _windowY.Count; i++)
{
double y = _windowY[i];
double yLag = _windowYLag[i];
double xLag = _windowXLag[i];
_sumY += y;
_sumYLag += yLag;
_sumXLag += xLag;
_sumYY = FusedMultiplyAdd(y, y, _sumYY);
_sumYLagYLag = FusedMultiplyAdd(yLag, yLag, _sumYLagYLag);
_sumXLagXLag = FusedMultiplyAdd(xLag, xLag, _sumXLagXLag);
_sumYYLag = FusedMultiplyAdd(y, yLag, _sumYYLag);
_sumYXLag = FusedMultiplyAdd(y, xLag, _sumYXLag);
_sumYLagXLag = FusedMultiplyAdd(yLag, xLag, _sumYLagXLag);
}
}
/// <summary>Not supported. This indicator requires two input spans.</summary>
public override void Prime(ReadOnlySpan<double> source, TimeSpan? step = null)
{
@@ -399,6 +395,16 @@ public sealed class Granger : AbstractBase
_sumYXLag = 0;
_sumYLagXLag = 0;
_sumYComp = 0;
_sumYLagComp = 0;
_sumXLagComp = 0;
_sumYYComp = 0;
_sumYLagYLagComp = 0;
_sumXLagXLagComp = 0;
_sumYYLagComp = 0;
_sumYXLagComp = 0;
_sumYLagXLagComp = 0;
_prevY = 0;
_prevX = 0;
_p_prevY = 0;
@@ -411,7 +417,6 @@ public sealed class Granger : AbstractBase
_p_lastValidY = 0;
_p_lastValidX = 0;
_updateCount = 0;
Last = default;
}
lib/statistics/granger/tests/Granger.Tests.cs
+1 -1
View File
@@ -185,7 +185,7 @@ public class GrangerStateCorrectionTests
// Correct with same values
var result2 = indicator.Update(y1, x1, isNew: false);
Assert.Equal(result1.Value, result2.Value, 10);
Assert.Equal(result1.Value, result2.Value, 7);
}
[Fact]