This is the GitHub-repository for a so-called 'blocking method', which can estimate expected values and the associated error for ultra-large data series. The key property of the method, is that this is achieved in O(n)-time. The mathematical description of the method is contained in an article with DOI: 10.1103/PhysRevE.98.043304

In this repository, there are implementations for:

• Python
• R
• C++
• Armadillo
• Julia

After pulling a copy of the repository to your work space, you can inspect the code for the language of interest to you in directories of the same name. Benchmarks for the language of your choice are in the benchmark directory. You can contact me with questions at [email protected]. As you can see, with thanks to collegues in Oslo, Karl Henrik, there's julia support now. If you like it, please star, tell your friends and cite the paper:

Jonsson, M. (2018). Standard error estimation by an automated blocking method. Physical Review E, 98(4), 043304.