@mark1russell7/rigor-statistics 0.1.24 → 0.1.26

package/README.md

@@ -160,6 +160,7 @@ logLoss([{ p: p.a, hit: true }]);                // the probability of the obser
 | Function | What it gives |
 | --- | --- |
 | `mean`, `sd`, `median`, `summarize` | The descriptive statistics. `sd` is the sample standard deviation. |
+| `runningOf`, `addToRunning`, `mergeRunning`, `runningMean`, `runningSd` | A running summary of a stream: the count, the sum, the extremes and the spread, one value at a time. `mergeRunning` joins the summaries of two parts. `runningMean` gives exactly `mean` of the values. |
 | `quantile(values, p, method)`, `quantileSorted` | The `p` quantile, with the `"linear"` method (type 7, the default), the `"nearest-rank"` method (type 1) or the `"higher"` method (`sorted[Math.ceil(p * (n - 1))]`, as NumPy). |
 | `bootstrap(data, statistic, options)` | A percentile bootstrap interval of any statistic. The options are `runs`, `level` or `ends`, `seed`, `method` and `against`. |
 | The option `against` | The interval also gives `pAbove` and `pBelow`, the bootstrap p of each side of the value, from the same draws. The smallest p is 1 / (`finite` + 1). Give `holm` enough runs: with m tests at level a, `runs` is more than m / a. |
@@ -290,8 +291,6 @@ The tests prove that these functions give the same numbers as the copies in the
 | `bootstrapMedian` of packing | `bootstrapMedian(sortedValues, { runs, level, seed })`. Give the values sorted, because packing draws from the sorted list. |
 | `bootstrapMedian` of highways | `bootstrap(values, (s) => quantile(s, 0.5), { runs, level, seed })` |
 | `bootstrap` of layout-contract | `bootstrapClusters(rows, (r) => r.cluster, statistic, { runs, seed, ends: [0.025, 0.975] })` |
-| The stratified bootstrap of `verdict` of layout-contract | `bootstrapStrata(families, meanOfMeans, { runs, seed: deriveSeed(seed, "verdict.stratified"), ends })` |
-| The permutation test of `verdict` of layout-contract | `signFlipTest(terms, { exactMax, runs, seed: deriveSeed(seed, "verdict.permutation") })` |
 | `normalQuantile` of lag (Acklam, relative error below 1.2e-9) | `normalQuantile(p)`. The values change by 1.2e-9 or less, because the new function is more exact. A `p` out of 0 to 1 throws. |
 | `signTestP` of packing | `signTest(better, worse)` |
 | `signTestPower` of highways | `signTestPower(n, level)` |
@@ -299,6 +298,7 @@ The tests prove that these functions give the same numbers as the copies in the
 | `spearman` of the highways backtest, `kendallTau` of highways | `spearman`, `kendallTau` |
 | `medianInterval` of the harness and kind of systems | `medianInterval(sortedValues)`, with `low` and `high` |
 | The binomial band of `targetConnections` and `negativeBinomial` of the cells of systems | `binomialInterval(n, p, cover)` and `negativeBinomialInterval(successes, p, cover)` |
+| `summarizingNumber` of collections (`count`, `sum`, `min`, `max`, `average`) | `addToRunning` in the accumulator, then `n`, `sum`, `min`, `max` and `runningMean`. The average was `sum / count`, so the bits stay. |
 
 A copy that gives NaN, 0 or `undefined` for an empty list must test the list at the call, because these functions throw.
 

package/build/index.d.ts

@@ -45,6 +45,48 @@ interface Summary {
   readonly iqr: number;
 }
 export declare function summarize(values: readonly number[]): Summary;
+/**
+ * The running summary: the count, the sum, the extremes and the spread of a stream of values, one value at a time.
+ * A collector, a reducer or a parallel job adds each value, or merges two summaries. The summary agrees with the
+ * functions of a list: `runningMean` gives exactly `mean` of the values, and `runningSd` gives `sd` to a tolerance.
+ */
+/**
+ * A running summary of the values that were added. The record is immutable, so a fold can keep each step. The empty
+ * summary is `EMPTY_RUNNING`.
+ */
+interface RunningSummary {
+  /** The count of the values. */
+  readonly n: number;
+  /** The sum of the values, added in their order. */
+  readonly sum: number;
+  /** The smallest value, or `Infinity` for no value. */
+  readonly min: number;
+  /** The largest value, or `-Infinity` for no value. */
+  readonly max: number;
+  /** The sum of the squares of the differences from the mean (Welford). `runningSd` reads it. */
+  readonly m2: number;
+}
+/** The summary of no value. It is the unit of `mergeRunning`. */
+export declare const EMPTY_RUNNING: RunningSummary;
+/**
+ * This function gives the summary with one more value. It throws a RangeError for NaN, as the functions of a list do.
+ * The mean of each step is `sum / n`, so the mean of the fold is the mean of the list.
+ */
+export declare function addToRunning(s: RunningSummary, value: number): RunningSummary;
+/** This function gives the summary of the values of a list or another iterable, in their order. */
+export declare function runningOf(values: Iterable<number>): RunningSummary;
+/**
+ * This function gives the summary of the values of two summaries (Chan, Golub and LeVeque, 1979). Thus parallel jobs
+ * can each summarize a part. The sum of the merge adds the two sums, so it can differ from the fold in the last bits.
+ */
+export declare function mergeRunning(a: RunningSummary, b: RunningSummary): RunningSummary;
+/** This function gives the mean of the values: `sum / n`. It throws a RangeError for the empty summary. */
+export declare function runningMean(s: RunningSummary): number;
+/**
+ * This function gives the sample standard deviation of the values (the divisor is n - 1). It needs 2 values or more.
+ * Equal values give exactly 0, as `sd` gives. A rounding error cannot make the result NaN.
+ */
+export declare function runningSd(s: RunningSummary): number;
 /**
  * Ordinary least squares with a Householder QR decomposition. The QR decomposition does not square the condition
  * number of the design, as the normal equations do. A design without full rank gives NaN coefficients and does not
@@ -1610,5 +1652,5 @@ interface BradleyTerryFit {
  * outcome, a bad weight and a bad option.
  */
 export declare function bradleyTerry(items: number, comparisons: readonly PairComparison[], options?: BradleyTerryOptions): BradleyTerryFit;
-export type { BinomialSide, BootstrapOptions, BradleyTerryFit, BradleyTerryOptions, CalibrationLevel, CategoricalDimension, CompareOptions, Comparison, ContinuousDimension, Corrected, CountInterval, CoverageBar, CoverageCell, CoverageMinSample, CoverageReason, CoverageStep, Effect, EloOptions, EloUpdate, Forecast, Glicko2Game, Glicko2Options, Glicko2Rating, Interval, Kappa, LeastSquaresFit, LeastSquaresOptions, MedianInterval, ModeOptions, NoiseOptions, NoiseState, NoiseVerdict, OptionFloorOptions, OrdinalDimension, PairComparison, PairOutcome, PairProbabilities, ParsedResponseRecord, PermutationOptions, PermutationResult, Proportion, QuantileInterval, QuantileMethod, RatingScale, ResponseAbsentPoint, ResponseBand, ResponseCurvePoint, ResponseData, ResponseDimension, ResponseDimensionBase, ResponseFactor, ResponseFault, ResponseFitOptions, ResponseFold, ResponseFoldError, ResponseHeldOutError, ResponseInputValue, ResponseMeasure, ResponseModel, ResponseModelBase, ResponsePoint, ResponseReason, ResponseRecord, ResponseSlice, ResponseSliceOptions, ResponseSlicePoint, ResponseSurface, ResponseSurfaceAbsentPoint, ResponseSurfaceOptions, ResponseSurfacePoint, ResponseTableCell, ResponseValue, ResponseViewOptions, ResponseWhen, RidgeInput, RidgeInputBase, RidgeLevelInput, RidgeNumberInput, RidgeOptions, RidgeRankInput, RidgeResponseModel, RidgeTerm, SampleTotalOptions, SideP, SignFlipOptions, SignFlipResult, SmoothLaw, SmoothLawScore, SobolIndex, SobolIndices, SobolOptions, Summary, TableResponseModel, TieModel, TwoSamplePermutationOptions, TwoSamplePermutationResult, UStatisticInterval, UStatisticMean, UStatisticMethod, UStatisticOptions };
+export type { BinomialSide, BootstrapOptions, BradleyTerryFit, BradleyTerryOptions, CalibrationLevel, CategoricalDimension, CompareOptions, Comparison, ContinuousDimension, Corrected, CountInterval, CoverageBar, CoverageCell, CoverageMinSample, CoverageReason, CoverageStep, Effect, EloOptions, EloUpdate, Forecast, Glicko2Game, Glicko2Options, Glicko2Rating, Interval, Kappa, LeastSquaresFit, LeastSquaresOptions, MedianInterval, ModeOptions, NoiseOptions, NoiseState, NoiseVerdict, OptionFloorOptions, OrdinalDimension, PairComparison, PairOutcome, PairProbabilities, ParsedResponseRecord, PermutationOptions, PermutationResult, Proportion, QuantileInterval, QuantileMethod, RatingScale, ResponseAbsentPoint, ResponseBand, ResponseCurvePoint, ResponseData, ResponseDimension, ResponseDimensionBase, ResponseFactor, ResponseFault, ResponseFitOptions, ResponseFold, ResponseFoldError, ResponseHeldOutError, ResponseInputValue, ResponseMeasure, ResponseModel, ResponseModelBase, ResponsePoint, ResponseReason, ResponseRecord, ResponseSlice, ResponseSliceOptions, ResponseSlicePoint, ResponseSurface, ResponseSurfaceAbsentPoint, ResponseSurfaceOptions, ResponseSurfacePoint, ResponseTableCell, ResponseValue, ResponseViewOptions, ResponseWhen, RidgeInput, RidgeInputBase, RidgeLevelInput, RidgeNumberInput, RidgeOptions, RidgeRankInput, RidgeResponseModel, RidgeTerm, RunningSummary, SampleTotalOptions, SideP, SignFlipOptions, SignFlipResult, SmoothLaw, SmoothLawScore, SobolIndex, SobolIndices, SobolOptions, Summary, TableResponseModel, TieModel, TwoSamplePermutationOptions, TwoSamplePermutationResult, UStatisticInterval, UStatisticMean, UStatisticMethod, UStatisticOptions };
 //# sourceMappingURL=index.d.ts.map

package/build/index.d.ts.map

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package/build/index.js

@@ -84,6 +84,76 @@ function summarize(values) {
 		iqr: q3 - q1
 	};
 }
+// src/running.ts
+/** The summary of no value. It is the unit of `mergeRunning`. */
+const EMPTY_RUNNING = Object.freeze({
+	n: 0,
+	sum: 0,
+	min: Infinity,
+	max: -Infinity,
+	m2: 0
+});
+/**
+* This function gives the summary with one more value. It throws a RangeError for NaN, as the functions of a list do.
+* The mean of each step is `sum / n`, so the mean of the fold is the mean of the list.
+*/
+function addToRunning(s, value) {
+	if (Number.isNaN(value)) throw new RangeError("addToRunning: the value is NaN.");
+	const sum = s.sum + value;
+	if (s.n === 0) return {
+		n: 1,
+		sum,
+		min: value,
+		max: value,
+		m2: 0
+	};
+	const n = s.n + 1;
+	const m2 = s.m2 + (value - s.sum / s.n) * (value - sum / n);
+	return {
+		n,
+		sum,
+		min: Math.min(s.min, value),
+		max: Math.max(s.max, value),
+		m2
+	};
+}
+/** This function gives the summary of the values of a list or another iterable, in their order. */
+function runningOf(values) {
+	let s = EMPTY_RUNNING;
+	for (const v of values) s = addToRunning(s, v);
+	return s;
+}
+/**
+* This function gives the summary of the values of two summaries (Chan, Golub and LeVeque, 1979). Thus parallel jobs
+* can each summarize a part. The sum of the merge adds the two sums, so it can differ from the fold in the last bits.
+*/
+function mergeRunning(a, b) {
+	if (a.n === 0) return b;
+	if (b.n === 0) return a;
+	const n = a.n + b.n;
+	const delta = b.sum / b.n - a.sum / a.n;
+	return {
+		n,
+		sum: a.sum + b.sum,
+		min: Math.min(a.min, b.min),
+		max: Math.max(a.max, b.max),
+		m2: a.m2 + b.m2 + delta * delta * a.n / n * b.n
+	};
+}
+/** This function gives the mean of the values: `sum / n`. It throws a RangeError for the empty summary. */
+function runningMean(s) {
+	if (s.n === 0) throw new RangeError("runningMean: the summary is empty.");
+	return s.sum / s.n;
+}
+/**
+* This function gives the sample standard deviation of the values (the divisor is n - 1). It needs 2 values or more.
+* Equal values give exactly 0, as `sd` gives. A rounding error cannot make the result NaN.
+*/
+function runningSd(s) {
+	if (s.n < 2) throw new RangeError("runningSd: the summary needs 2 values or more.");
+	if (s.min === s.max) return 0;
+	return Math.sqrt(Math.max(0, s.m2) / (s.n - 1));
+}
 // src/regression.ts
 /**
 * The relative tolerance of the rank test. A column is dependent when the part of it that is orthogonal to the
@@ -2432,24 +2502,61 @@ function sobolIndices(record, measure, options = {}) {
 function whole$2(name, value) {
 	if (!Number.isSafeInteger(value) || value < 0) throw new RangeError(`${name}: ${value} is not a whole number of 0 or more.`);
 }
-/** The log of each binomial term C(n, k) / 2^n, for each k from 0 to n. */
-function halfBinomialLogs(n) {
-	const logs = [];
-	let logChoose = 0;
-	for (let i = 0; i <= n; i++) {
-		if (i > 0) logChoose += Math.log((n - i + 1) / i);
-		logs.push(logChoose - n * Math.LN2);
+const TWO_512 = 2 ** 512;
+/** C(n, k) / 2^n, as one product of min(k, n - k) ratios, with the powers of 2 kept apart so that no step overflows. */
+function halfBinomial(k, n) {
+	const m = Math.min(k, n - k);
+	let value = 1;
+	let exponent = -n;
+	for (let i = 1; i <= m; i++) {
+		value *= (n - m + i) / i;
+		if (value > TWO_512) {
+			value /= TWO_512;
+			exponent += 512;
+		}
 	}
-	return logs;
+	for (; exponent < -512; exponent += 512) value /= TWO_512;
+	return value * 2 ** exponent;
+}
+/** The largest n for which the tail is an exact sum of whole numbers. Above it, the sum is in floating point. */
+const SIGN_TEST_EXACT_LIMIT = 4096;
+/** num / 2^n as the nearest double: one rounding, also when num has more than 1024 bits. */
+function overPowerOfTwo(num, n) {
+	const shift = Math.max(0, num.toString(2).length - 1e3);
+	let value = Number(num >> BigInt(shift));
+	let exponent = shift - n;
+	for (; exponent < -512; exponent += 512) value /= TWO_512;
+	return value * 2 ** exponent;
 }
-/** P(X >= k) for X ~ Binomial(n, 1/2), summed from the largest term so that a small tail keeps its digits. */
+/**
+* P(X >= k) for X ~ Binomial(n, 1/2). For n up to SIGN_TEST_EXACT_LIMIT it adds C(n, i) as whole numbers (BigInt),
+* so the only error is the last rounding to a double. Above the limit and above the middle, it adds the terms as
+* ratios of term k in linear space. At or below the middle, it gives 1 - P(X >= n - k + 1), by symmetry. (An earlier form added
+* logs and called Math.exp, and its error grew with n: up to 2.5e-14 for n <= 80, rigor#158. The floating-point
+* form above the limit was at most 1.1e-14 relative at n = 4097 and 5000, above 2^-1000.)
+*/
 function upperTail(k, n) {
 	if (k <= 0) return 1;
 	if (k > n) return 0;
-	const logs = halfBinomialLogs(n).slice(k);
-	const top = Math.max(...logs);
-	const sum = logs.reduce((s, l) => s + Math.exp(l - top), 0);
-	return Math.min(1, Math.exp(top) * sum);
+	if (n <= SIGN_TEST_EXACT_LIMIT) {
+		const big = BigInt(n);
+		let term = 1n;
+		for (let i = 1n; i <= BigInt(k); i++) term = term * (big - i + 1n) / i;
+		let sum = 0n;
+		for (let i = BigInt(k); i <= big; i++) {
+			sum += term;
+			term = term * (big - i) / (i + 1n);
+		}
+		return Math.min(1, overPowerOfTwo(sum, n));
+	}
+	if (2 * k <= n) return 1 - upperTail(n - k + 1, n);
+	let ratio = 1;
+	let sum = 1;
+	for (let i = k; i < n && ratio > 0; i++) {
+		ratio *= (n - i) / (i + 1);
+		sum += ratio;
+	}
+	return Math.min(1, halfBinomial(k, n) * sum);
 }
 /**
 * The sign test of paired results: `better` inputs where the candidate wins and `worse` where it loses. The ties
@@ -2470,7 +2577,15 @@ function signTest(better, worse, sides = 1) {
 */
 function signTestPower(n, level = .05, sides = 2) {
 	whole$2("signTestPower", n);
-	for (let k = Math.ceil(n / 2); k <= n; k++) if (signTest(k, n - k, sides) < level) return k;
+	if (n === 0 || signTest(n, 0, sides) >= level) return void 0;
+	let low = Math.ceil(n / 2);
+	let high = n;
+	while (low < high) {
+		const middle = Math.floor((low + high) / 2);
+		if (signTest(middle, n - middle, sides) < level) high = middle;
+		else low = middle + 1;
+	}
+	return low;
 }
 /** The z of a two-sided 95% interval. */
 const Z95 = 1.959963984540054;
@@ -4097,6 +4212,6 @@ function inverseDiagonal(hessian, k) {
 	}
 	return out;
 }
-export { KENDALL_EXACT, RESPONSE_LAMBDAS, RESPONSE_MAX_POWER, RESPONSE_MAX_TERMS, RESPONSE_RECORDS_SCHEMA, SIGN_FLIP_EXACT_LIMIT, SIGN_FLIP_EXACT_MAX, U_STATISTIC_TIGHT_MIN_SAMPLE, Z95, bestSmoothLaw, binomialInterval, binomialTest, bootstrap, bootstrapClusters, bootstrapLeastSquares, bootstrapMedian, bootstrapMedianRatio, bootstrapStrata, bootstrapTwo, bradleyTerry, brier, calibration, cohenKappa, compareRatios, coverageMinSample, eloExpected, eloUpdate, fitResponse, glicko2Idle, glicko2Update, heldOutError, heldOutErrorAt, holm, kendallTau, leastSquares, logLoss, mean, median, medianInterval, modeCount, negativeBinomialInterval, noiseFloor, noiseVerdict, normalCdf, normalQuantile, optionFloor, pairProbabilities, pairedPermutation, parseResponseRecord, partialConjunction, predictResponse, quantile, quantileInterval, quantileSamples, quantileSorted, ranks, ratingToStrength, responseCells, ridgeSolve, sampleTotalInterval, sd, signFlipTest, signTest, signTestPower, sliceResponse, smoothLawScores, sobolIndices, sorted, spearman, strengthToRating, summarize, surfaceResponse, tQuantile, twoSamplePermutation, uStatisticInterval, whenHolds, wilson, wilsonSampleSize };
+export { EMPTY_RUNNING, KENDALL_EXACT, RESPONSE_LAMBDAS, RESPONSE_MAX_POWER, RESPONSE_MAX_TERMS, RESPONSE_RECORDS_SCHEMA, SIGN_FLIP_EXACT_LIMIT, SIGN_FLIP_EXACT_MAX, U_STATISTIC_TIGHT_MIN_SAMPLE, Z95, addToRunning, bestSmoothLaw, binomialInterval, binomialTest, bootstrap, bootstrapClusters, bootstrapLeastSquares, bootstrapMedian, bootstrapMedianRatio, bootstrapStrata, bootstrapTwo, bradleyTerry, brier, calibration, cohenKappa, compareRatios, coverageMinSample, eloExpected, eloUpdate, fitResponse, glicko2Idle, glicko2Update, heldOutError, heldOutErrorAt, holm, kendallTau, leastSquares, logLoss, mean, median, medianInterval, mergeRunning, modeCount, negativeBinomialInterval, noiseFloor, noiseVerdict, normalCdf, normalQuantile, optionFloor, pairProbabilities, pairedPermutation, parseResponseRecord, partialConjunction, predictResponse, quantile, quantileInterval, quantileSamples, quantileSorted, ranks, ratingToStrength, responseCells, ridgeSolve, runningMean, runningOf, runningSd, sampleTotalInterval, sd, signFlipTest, signTest, signTestPower, sliceResponse, smoothLawScores, sobolIndices, sorted, spearman, strengthToRating, summarize, surfaceResponse, tQuantile, twoSamplePermutation, uStatisticInterval, whenHolds, wilson, wilsonSampleSize };
 
 //# sourceMappingURL=index.js.map