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Preserve eltype where possible for moments #688

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Preserve eltype where possible for moments #688

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b54b9fa
Preserve eltype where possible for moments
palday Apr 23, 2021
f85a002
rm extra newline
palday Apr 23, 2021
94d2656
simplify
palday Apr 26, 2021
56e0fff
get serious about promotion
palday Apr 26, 2021
40e7290
flatten
palday Apr 26, 2021
338eb05
even more type stable
palday Apr 26, 2021
f05e14f
Apply suggestions from code review
palday Apr 28, 2021
eb0e7c3
similar type stability
palday Apr 28, 2021
aacef2a
skewness and kurtosis
palday May 4, 2021
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74 changes: 37 additions & 37 deletions src/moments.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -42,7 +42,7 @@ function var(v::RealArray, w::AbstractWeights; mean=nothing,
corrected::DepBool=nothing)
corrected = depcheck(:var, corrected)

if mean == nothing
if mean === nothing
varm(v, w, Statistics.mean(v, w); corrected=corrected)
else
varm(v, w, mean; corrected=corrected)
Expand Down Expand Up @@ -82,17 +82,17 @@ function var!(R::AbstractArray, A::RealArray, w::AbstractWeights, dims::Int;
end
end

function varm(A::RealArray, w::AbstractWeights, M::RealArray, dim::Int;
corrected::DepBool=nothing)
function varm(A::RealArray{T}, w::AbstractWeights, M::RealArray, dim::Int;
corrected::DepBool=nothing) where T
corrected = depcheck(:varm, corrected)
varm!(similar(A, Float64, Base.reduced_indices(axes(A), dim)), A, w, M,
varm!(similar(A, promote_type(T, eltype(w)), Base.reduced_indices(axes(A), dim)), A, w, M,
dim; corrected=corrected)
end

function var(A::RealArray, w::AbstractWeights, dim::Int; mean=nothing,
corrected::DepBool=nothing)
function var(A::RealArray{T}, w::AbstractWeights, dim::Int; mean=nothing,
corrected::DepBool=nothing) where T
corrected = depcheck(:var, corrected)
var!(similar(A, Float64, Base.reduced_indices(axes(A), dim)), A, w, dim;
var!(similar(A, promote_type(T, eltype(w)), Base.reduced_indices(axes(A), dim)), A, w, dim;
mean=mean, corrected=corrected)
end

Expand Down Expand Up @@ -221,19 +221,19 @@ end


##### General central moment
function _moment2(v::RealArray, m::Real; corrected=false)
function _moment2(v::RealArray{T}, m::Real; corrected=false) where T
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n = length(v)
s = 0.0
s = zero(T)
for i = 1:n
@inbounds z = v[i] - m
s += z * z
end
varcorrection(n, corrected) * s
end

function _moment2(v::RealArray, wv::AbstractWeights, m::Real; corrected=false)
function _moment2(v::RealArray{T}, wv::AbstractWeights, m::Real; corrected=false) where T
n = length(v)
s = 0.0
s = zero(promote_type(T, eltype(wv)))
for i = 1:n
@inbounds z = v[i] - m
@inbounds s += (z * z) * wv[i]
Expand All @@ -242,59 +242,59 @@ function _moment2(v::RealArray, wv::AbstractWeights, m::Real; corrected=false)
varcorrection(wv, corrected) * s
end

function _moment3(v::RealArray, m::Real)
function _moment3(v::RealArray{T}, m::Real) where T
n = length(v)
s = 0.0
s = zero(T)
for i = 1:n
@inbounds z = v[i] - m
s += z * z * z
end
s / n
end

function _moment3(v::RealArray, wv::AbstractWeights, m::Real)
function _moment3(v::RealArray{T}, wv::AbstractWeights, m::Real; corrected=false) where T
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n = length(v)
s = 0.0
s = zero(promote_type(T, eltype(wv)))
for i = 1:n
@inbounds z = v[i] - m
@inbounds s += (z * z * z) * wv[i]
end
s / sum(wv)
end

function _moment4(v::RealArray, m::Real)
function _moment4(v::RealArray{T}, m::Real) where T
n = length(v)
s = 0.0
s = zero(T)
for i = 1:n
@inbounds z = v[i] - m
s += abs2(z * z)
end
s / n
end

function _moment4(v::RealArray, wv::AbstractWeights, m::Real)
function _moment4(v::RealArray{T}, wv::AbstractWeights, m::Real; corrected=false) where T
n = length(v)
s = 0.0
s = zero(promote_type(T, eltype(wv)))
for i = 1:n
@inbounds z = v[i] - m
@inbounds s += abs2(z * z) * wv[i]
end
s / sum(wv)
end

function _momentk(v::RealArray, k::Int, m::Real)
function _momentk(v::RealArray{T}, k::Int, m::Real) where T
n = length(v)
s = 0.0
s = zero(T)
for i = 1:n
@inbounds z = v[i] - m
s += (z ^ k)
end
s / n
end

function _momentk(v::RealArray, k::Int, wv::AbstractWeights, m::Real)
function _momentk(v::RealArray{T}, k::Int, wv::AbstractWeights, m::Real) where T
n = length(v)
s = 0.0
s = zero(promote_type(T, eltype(wv)))
for i = 1:n
@inbounds z = v[i] - m
@inbounds s += (z ^ k) * wv[i]
Expand Down Expand Up @@ -339,10 +339,10 @@ end
Compute the standardized skewness of a real-valued array `v`, optionally
specifying a weighting vector `wv` and a center `m`.
"""
function skewness(v::RealArray, m::Real)
function skewness(v::RealArray{T}, m::Real) where T
n = length(v)
cm2 = 0.0 # empirical 2nd centered moment (variance)
cm3 = 0.0 # empirical 3rd centered moment
cm2 = zero(T) # empirical 2nd centered moment (variance)
cm3 = zero(T) # empirical 3rd centered moment
for i = 1:n
@inbounds z = v[i] - m
z2 = z * z
Expand All @@ -355,11 +355,11 @@ function skewness(v::RealArray, m::Real)
return cm3 / sqrt(cm2 * cm2 * cm2) # this is much faster than cm2^1.5
end

function skewness(v::RealArray, wv::AbstractWeights, m::Real)
function skewness(v::RealArray{T}, wv::AbstractWeights, m::Real) where T
n = length(v)
length(wv) == n || throw(DimensionMismatch("Inconsistent array lengths."))
cm2 = 0.0 # empirical 2nd centered moment (variance)
cm3 = 0.0 # empirical 3rd centered moment
cm2 = zero(T) # empirical 2nd centered moment (variance)
cm3 = zero(T) # empirical 3rd centered moment

@inbounds for i = 1:n
x_i = v[i]
Expand All @@ -386,10 +386,10 @@ skewness(v::RealArray, wv::AbstractWeights) = skewness(v, wv, mean(v, wv))
Compute the excess kurtosis of a real-valued array `v`, optionally
specifying a weighting vector `wv` and a center `m`.
"""
function kurtosis(v::RealArray, m::Real)
function kurtosis(v::RealArray{T}, m::Real) where T
n = length(v)
cm2 = 0.0 # empirical 2nd centered moment (variance)
cm4 = 0.0 # empirical 4th centered moment
cm2 = zero(T) # empirical 2nd centered moment (variance)
cm4 = zero(T) # empirical 4th centered moment
for i = 1:n
@inbounds z = v[i] - m
z2 = z * z
Expand All @@ -398,14 +398,14 @@ function kurtosis(v::RealArray, m::Real)
end
cm4 /= n
cm2 /= n
return (cm4 / (cm2 * cm2)) - 3.0
return (cm4 / (cm2 * cm2)) - 3 * one(T)
end

function kurtosis(v::RealArray, wv::AbstractWeights, m::Real)
function kurtosis(v::RealArray{T}, wv::AbstractWeights, m::Real) where T
n = length(v)
length(wv) == n || throw(DimensionMismatch("Inconsistent array lengths."))
cm2 = 0.0 # empirical 2nd centered moment (variance)
cm4 = 0.0 # empirical 4th centered moment
cm2 = zero(T) # empirical 2nd centered moment (variance)
cm4 = zero(T) # empirical 4th centered moment

@inbounds for i = 1 : n
x_i = v[i]
Expand All @@ -419,7 +419,7 @@ function kurtosis(v::RealArray, wv::AbstractWeights, m::Real)
sw = sum(wv)
cm4 /= sw
cm2 /= sw
return (cm4 / (cm2 * cm2)) - 3.0
return (cm4 / (cm2 * cm2)) - 3 * one(T)
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end

kurtosis(v::RealArray) = kurtosis(v, mean(v))
Expand Down
16 changes: 16 additions & 0 deletions test/moments.jl
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Original file line number Diff line number Diff line change
@@ -1,4 +1,5 @@
using StatsBase
using Statistics
using Test

@testset "StatsBase.Moments" begin
Expand Down Expand Up @@ -278,4 +279,19 @@ end
@test moment(x, 5, w) ≈ sum((x2 .- 4).^5) / 5
end

@testset "Preservation of eltypes in moments" begin
xs = Float16[1, 2, 3, 4, 5];
ws = AnalyticWeights(Float16[1, 1, 1, 1, 1]);
@test typeof(std(xs)) === Float16
@test typeof(var(xs)) === Float16
@test typeof(mean(xs, ws)) === Float16
@test typeof(std(xs, ws)) === Float16
@test typeof(var(xs, ws)) === Float16
@test typeof(skewness(xs, ws)) === Float16
@test typeof(kurtosis(xs, ws)) === Float16
for i in 1:5
@test typeof(moment(xs, i, ws)) === Float16
end
end

end # @testset "StatsBase.Moments"