Package org.apache.commons.math3.stat.correlation

Class StorelessBivariateCovariance

java.lang.Object

org.apache.commons.math3.stat.correlation.StorelessBivariateCovariance

class StorelessBivariateCovariance
extends java.lang.Object

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.

Since:

3.0

Field Summary

Fields

Modifier and Type	Field	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

Constructors

Constructor	Description
StorelessBivariateCovariance()	Create an empty StorelessBivariateCovariance instance with bias correction.
StorelessBivariateCovariance(boolean biasCorrection)	Create an empty StorelessBivariateCovariance instance.

Method Summary

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

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

meanX

private double meanX

the mean of variable x

meanY

private double meanY

the mean of variable y

n

private double n

number of observations

covarianceNumerator

private double covarianceNumerator

the running covariance estimate

biasCorrected

private boolean biasCorrected

flag for bias correction

Constructor Detail

StorelessBivariateCovariance

StorelessBivariateCovariance()

Create an empty StorelessBivariateCovariance instance with bias correction.

StorelessBivariateCovariance

StorelessBivariateCovariance(boolean biasCorrection)

Create an empty StorelessBivariateCovariance instance.

Parameters:

biasCorrection - 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

increment

public void increment(double x,
                      double y)

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

Parameters:

x - the x value

y - the y value

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 instance to append.

getN

public double getN()

Returns the number of observations.

Returns:

number of observations

getResult

public double getResult()
                 throws NumberIsTooSmallException

Return the current covariance estimate.

Returns:

the current covariance

Throws:

NumberIsTooSmallException - if the number of observations is < 2