fintech-algorithms
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Batch, Rolling, and Streaming Statistic Equivalence

Install and import#

bash
npm install fintech-algorithms
ts
import { batchRollingAndStreamingStatisticEquivalence } from "fintech-algorithms/foundations/statistical-computing-and-reproducibility/batch-rolling-and-streaming-statistic-equivalence";

Signature#

batchRollingAndStreamingStatisticEquivalence(input)

Computes the same fixed-window mean two ways, by re-averaging each window slice and by a running add-and-drop sum, then checks that they agree.

Parameters#

NameTypeNotes
inputD00InputReads values, a non-empty list of finite numbers, and window, the number of observations each average covers.

Returns#

D00Output

batchMean averages the whole series. rollingMeans recomputes each window from its slice and streamingMeans maintains a running sum; equivalent is true when every matching pair agrees to within 1e-12.

Errors#

  • When values is absent, empty, or holds a non-finite number — throws RangeError
  • When window is not an integer between one and the observation count — throws RangeError

Complexity: time O(n * w), space O(n).

Worked example#

verified This is the worked example published in the article, replayed by the test suite on every run. The output cannot drift.

Input#

input
{
  "values": [1, 2, 3, 4, 5],
  "floatingValue": 0.1,
  "maxSafeMagnitude": 1.7976931348623157e+308,
  "window": 3,
  "rawValues": [1, null, 2, "bad", 3],
  "invalidPolicy": "drop-and-report",
  "seed": 42,
  "sampleCount": 5,
  "leftVector": [
    {
      "index": "A",
      "value": 1
    },
    {
      "index": "B",
      "value": 2
    }
  ],
  "rightVector": [
    {
      "index": "B",
      "value": 20
    },
    {
      "index": "C",
      "value": 30
    }
  ],
  "train": [10, 12, 14, 16],
  "test": [18, 20],
  "actual": [1, 2.0000001, 3],
  "expected": [1, 2, 3]
}

Showing 14 of 18 fields.

Call#

batchRollingAndStreamingStatisticEquivalence(input)

Returns#

object with 2 fields: batchMean, rollingMeans

{
  "batchMean": 3,
  "rollingMeans": [2, 3, 4]
}

Diagrams#

Batch, Rolling, and Streaming Statistic Equivalence — article hero
Batch, Rolling, and Streaming Statistic Equivalence — calculation ledger
Batch, Rolling, and Streaming Statistic Equivalence — concept anatomy
Batch, Rolling, and Streaming Statistic Equivalence — failure boundary
Batch, Rolling, and Streaming Statistic Equivalence — method map
Batch, Rolling, and Streaming Statistic Equivalence — scenario contrast

How it works#

This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.

Read the article →

References#

The rest of the Statistical Computing and Reproducibility family#