Package org.hipparchus.stat.correlation

Class StorelessCovariance

java.lang.Object

org.hipparchus.stat.correlation.Covariance

org.hipparchus.stat.correlation.StorelessCovariance

public class StorelessCovariance
extends Covariance

Covariance implementation that does not require input data to be stored in memory. The size of the covariance matrix is specified in the constructor. Specific elements of the matrix are incrementally updated with calls to incrementRow() or increment Covariance().

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.

Note: the underlying covariance matrix is symmetric, thus only the upper triangular part of the matrix is stored and updated each increment.

Constructor Summary

Constructors

Constructor	Description
StorelessCovariance(int dim)	Create a bias corrected covariance matrix with a given dimension.
StorelessCovariance(int dim, boolean biasCorrected)	Create a covariance matrix with a given number of rows and columns and the indicated bias correction.

Method Summary

Modifier and Type	Method	Description
void	append(StorelessCovariance sc)	Appends sc to this, effectively aggregating the computations in sc with this.
double	getCovariance(int xIndex, int yIndex)	Get the covariance for an individual element of the covariance matrix.
org.hipparchus.linear.RealMatrix	getCovarianceMatrix()	Returns the covariance matrix
double[][]	getData()	Return the covariance matrix as two-dimensional array.
int	getN()	This Covariance method is not supported by a StorelessCovariance, since the number of bivariate observations does not have to be the same for different pairs of covariates - i.e., N as defined in Covariance.getN() is undefined.
void	increment(double[] data)	Increment the covariance matrix with one row of data.

Methods inherited from class org.hipparchus.stat.correlation.Covariance

computeCovarianceMatrix, computeCovarianceMatrix, computeCovarianceMatrix, computeCovarianceMatrix, covariance, covariance

Methods inherited from class java.lang.Object

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

Constructor Detail

StorelessCovariance

public StorelessCovariance(int dim)

Create a bias corrected covariance matrix with a given dimension.

Parameters:

dim - the dimension of the square covariance matrix

StorelessCovariance

public StorelessCovariance(int dim,
                           boolean biasCorrected)

Create a covariance matrix with a given number of rows and columns and the indicated bias correction.

Parameters:

dim - the dimension of the covariance matrix

biasCorrected - 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

getCovariance

public double getCovariance(int xIndex,
                            int yIndex)
                     throws org.hipparchus.exception.MathIllegalArgumentException

Get the covariance for an individual element of the covariance matrix.

Parameters:

xIndex - row index in the covariance matrix

yIndex - column index in the covariance matrix

Returns:

the covariance of the given element

Throws:

org.hipparchus.exception.MathIllegalArgumentException - if the number of observations in the cell is < 2

increment

public void increment(double[] data)
               throws org.hipparchus.exception.MathIllegalArgumentException

Increment the covariance matrix with one row of data.

Parameters:

data - array representing one row of data.

Throws:

org.hipparchus.exception.MathIllegalArgumentException - if the length of rowData does not match with the covariance matrix

append

public void append(StorelessCovariance sc)
            throws org.hipparchus.exception.MathIllegalArgumentException

Appends sc to this, effectively aggregating the computations in sc with this. After invoking this method, covariances returned should be close to what would have been obtained by performing all of the increment(double[]) operations in sc directly on this.

Parameters:

sc - externally computed StorelessCovariance to add to this

Throws:

org.hipparchus.exception.MathIllegalArgumentException - if the dimension of sc does not match this

getCovarianceMatrix

public org.hipparchus.linear.RealMatrix getCovarianceMatrix()
                                                     throws org.hipparchus.exception.MathIllegalArgumentException

Returns the covariance matrix

Overrides:

getCovarianceMatrix in class Covariance

Returns:

covariance matrix

Throws:

org.hipparchus.exception.MathIllegalArgumentException - if the number of observations in a cell is < 2

getData

public double[][] getData()
                   throws org.hipparchus.exception.MathIllegalArgumentException

Return the covariance matrix as two-dimensional array.

Returns:

a two-dimensional double array of covariance values

Throws:

org.hipparchus.exception.MathIllegalArgumentException - if the number of observations for a cell is < 2

getN

public int getN()
         throws org.hipparchus.exception.MathRuntimeException

This Covariance method is not supported by a StorelessCovariance, since the number of bivariate observations does not have to be the same for different pairs of covariates - i.e., N as defined in Covariance.getN() is undefined.

Overrides:

getN in class Covariance

Returns:

nothing as this implementation always throws a MathRuntimeException

Throws:

org.hipparchus.exception.MathRuntimeException - in all cases