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

java.lang.Object
  org.apache.commons.math3.stat.correlation.StorelessBivariateCovariance

 class StorelessBivariateCovariance
extends 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

Version:

$Id: StorelessBivariateCovariance.java 1410238 2012-11-16 07:58:49Z luc $

Field Summary

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

StorelessBivariateCovariance()
Create an empty StorelessBivariateCovariance instance with bias correction.

StorelessBivariateCovariance(boolean biasCorrection)
Create an empty StorelessBivariateCovariance instance.

Method Summary

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

public StorelessBivariateCovariance()

Create an empty StorelessBivariateCovariance instance with bias correction.

StorelessBivariateCovariance

public 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

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