RhysU / ar

Autoregressive process modeling tools in header-only C++
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Add compensated reflection coefficient routine #9

Closed RhysU closed 11 years ago

RhysU commented 11 years ago

Leftover TODOs from #3 that are feature-related. Namely:

Starting points are commented out in ar::negative_half_reflection_coefficient within ar.hpp and should be wholly contained there.

RhysU commented 11 years ago

Welford turns out to be a dumb approach. Kahan is much cleaner.

vimdiff on the different with/without Kahan summation possibilities for Nick's quarrelsome issue3.dat. Upper result is with. Lower result is without.

Screenshot from 2012-12-20 22:59:25

Conclusion is that the robust accumulation matters.