Apache Commons Math 3.6.1 · org.apache.commons.math3.stat.correlation.StorelessBivariateCovariance

Bivariate Covariance implementation that does not require input data to be stored in memory.

This class is based on a paper written by Philippe Pébay: Formulas for Robust, One-Pass Parallel Computation of Covariances and Arbitrary-Order Statistical Moments, 2008, Technical Report SAND2008-6212, Sandia National Laboratories. It computes the covariance for a pair of variables. Use StorelessCovariance to estimate an entire covariance matrix.

Note

This class is package private as it is only used internally in the StorelessCovariance class.

Field Summary

Modifier and Type	Field and Description
private boolean	biasCorrected flag for bias correction
private double	covarianceNumerator the running covariance estimate
private double	meanX the mean of variable x
private double	meanY the mean of variable y
private double	n number of observations

Constructor Summary

Access	Constructor and Description
pack-priv	StorelessBivariateCovariance() Create an empty `StorelessBivariateCovariance` instance with bias correction.
pack-priv	StorelessBivariateCovariance(final boolean if `true` the covariance estimate is corrected for bias, i.e. n-1 in the denominator, otherwise there is no bias correction, i.e. n in the denominator. biasCorrection) Create an empty `StorelessBivariateCovariance` instance.

Method Summary

Modifier and Type	Method and Description
public void	append(StorelessBivariateCovariance StorelessBivariateCovariance instance to append. cov) Appends another bivariate covariance calculation to this.
public double	Returns: number of observations getN() Returns the number of observations.
public double	Returns: the current covariance getResult() Return the current covariance estimate.
public void	increment(final double the x value x, final double the y value y) Update the covariance estimation with a pair of variables (x, y).

Inherited from java.lang.Object:: clone equals finalize getClass hashCode notify notifyAll toString wait wait wait

Field Detail

biasCorrected	back to summary
private boolean biasCorrected flag for bias correction

covarianceNumerator	back to summary
private double covarianceNumerator the running covariance estimate

meanX	back to summary
private double meanX the mean of variable x

meanY	back to summary
private double meanY the mean of variable y

n	back to summary
private double n number of observations

Constructor Detail

StorelessBivariateCovariance	back to summary
pack-priv StorelessBivariateCovariance() Create an empty `StorelessBivariateCovariance` instance with bias correction.

StorelessBivariateCovariance back to summary

StorelessBivariateCovariance	back to summary
pack-priv StorelessBivariateCovariance(final boolean biasCorrection) Create an empty `StorelessBivariateCovariance` instance. Parameters biasCorrection:boolean if `true` the covariance estimate is corrected for bias, i.e. n-1 in the denominator, otherwise there is no bias correction, i.e. n in the denominator.

pack-priv StorelessBivariateCovariance(final boolean biasCorrection)

Create an empty StorelessBivariateCovariance instance.

Parameters

biasCorrection:boolean: if true the covariance estimate is corrected for bias, i.e. n-1 in the denominator, otherwise there is no bias correction, i.e. n in the denominator.

Method Detail

append back to summary

append	back to summary
public void append(StorelessBivariateCovariance cov) Appends another bivariate covariance calculation to this. After this operation, statistics returned should be close to what would have been obtained by by performing all of the `increment(double, double)` operations in `cov` directly on this. Parameters cov:StorelessBivariateCovariance StorelessBivariateCovariance instance to append.

public void append(StorelessBivariateCovariance cov)

Appends another bivariate covariance calculation to this. After this operation, statistics returned should be close to what would have been obtained by by performing all of the increment(double, double) operations in cov directly on this.

Parameters

cov:StorelessBivariateCovariance: StorelessBivariateCovariance instance to append.

getN	back to summary
public double getN() Returns the number of observations. Returns:double number of observations

getN

back to summary

public double getN()

Returns the number of observations.

Returns:double: number of observations

getResult	back to summary
public double getResult() throws NumberIsTooSmallException Return the current covariance estimate. Returns:double the current covariance Exceptions NumberIsTooSmallException: if the number of observations is < 2

getResult

back to summary

public double getResult() throws NumberIsTooSmallException

Return the current covariance estimate.

Returns:double

the current covariance

Exceptions

NumberIsTooSmallException:: if the number of observations is < 2

increment	back to summary
public void increment(final double x, final double y) Update the covariance estimation with a pair of variables (x, y). Parameters x:double the x value y:double the y value

increment

back to summary

public void increment(final double x, final double y)

Update the covariance estimation with a pair of variables (x, y).

Parameters

x:double: the x value
y:double: the y value

pack-priv Class StorelessBivariateCovariance

Field Summary

Constructor Summary

Method Summary

Field Detail

Constructor Detail

Method Detail