Open Firionus opened 4 years ago
Or could it be an option to call into SortFilters for small window sizes?
This definitely needs a new round of benchmarks, maybe even in CI.
Or could it be an option to call into SortFilters for small window sizes?
This definitely needs a new round of benchmarks, maybe even in CI.
The initial implementation for rolling with odd window size with pivot counting (benchmarks and code private right now) is more than twice as fast as SortFilters. Calling into SortFilters does not seem like a good idea.
See the R/C implementation of runmed for reference
The Stuetzle implementation for small windows can be found at https://github.com/SurajGupta/r-source/blob/a28e609e72ed7c47f6ddfbb86c85279a0750f0b7/src/library/stats/src/Srunmed.c
ToDo
smallwin_v2
)method = PivotCounting()
andPivotCounting <: RunningMedianAlgorithm
. This is how DifferentialEquations does it (https://diffeq.sciml.ai/stable/basics/common_solver_opts/#solver_options)