Fixes numerical accuracy issues in quantile. #16572
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Fixes issue JuliaStats/StatsBase.jl#164, and another when `p < eps()`.
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cc @andreasnoack can you review and merge? |
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| indlo = floor(index) | ||
| i = trunc(Int,indlo) | ||
| i = trunc(Int,t0) + 1 |
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To avoid confusion, maybe just t0 = Int(f0) since f0 has already been truncated.
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trunc(Int, t0) is technically faster, as it avoids the check of an integer.
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Except for the minor comment, it looks good. |
nalimilan
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Jul 1, 2023
The `a + γ*(b-a)` introduced by JuliaLang/julia#16572 has the advantage that it increases with `γ` even when `a` and `b` are very close, but it has the drawback that it is not robust to overflow. This is likely to happen in practice with small integer and floating point types. Conversely, the `(1-γ)*a + γ*b` which is currently used only for non-finite quantities is robust to overflow but may not always increase with `γ` as when `a` and `b` are very close or (more frequently) equal since precision loss can give a slightly smaller value for a larger `γ`. This can be problematic as it breaks an expected invariant. So keep using the `a + γ*(b-a)` formula when `a ≈ b`, in which case it's almost like returning either `a` or `b` but less arbitrary.
nalimilan
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to JuliaStats/Statistics.jl
that referenced
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Jul 29, 2023
The `a + γ*(b-a)` introduced by JuliaLang/julia#16572 has the advantage that it increases with `γ` even when `a` and `b` are very close, but it has the drawback that it is not robust to overflow. This is likely to happen in practice with small integer and floating point types. Conversely, the `(1-γ)*a + γ*b` which is currently used only for non-finite quantities is robust to overflow but may not always increase with `γ` as when `a` and `b` are very close or (more frequently) equal since precision loss can give a slightly smaller value for a larger `γ`. This can be problematic as it breaks an expected invariant. So keep using the `a + γ*(b-a)` formula when `a ≈ b`, in which case it's almost like returning either `a` or `b` but less arbitrary.
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Fixes issue JuliaStats/StatsBase.jl#164, and another when
p < eps().