BUG: Fix polluted window in rolling var #63048
Open
+116
−53
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doc/source/whatsnew/vX.X.X.rstfile if fixing a bug or adding a new feature.I took the tests from #62514.
The solution here is similar to the one in #62863, where I recompute the window if it detects numerical instability due to catastrophic cancellation.
Another point, is that I removed the consecutive value counts, because, for me, it's unnecessary, since I will recompute the window anyway if it detects severe loss of significant digits. Variance dropping to 0, or very close to, is a severe loss in significant digits which will trigger the recomputation.
The performance increase seen here must be because it is no longer counting consecutive values.
Benchmarks
asv continuous -f 1.1 -E virtualenv:3.13 upstream/main HEAD -b rolling.MethodsASV Compare