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| <div class="subTitle">org.apache.commons.math3.stat.correlation</div> |
| <h2 title="Class StorelessCovariance" class="title">Class StorelessCovariance</h2> |
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| <ul class="inheritance"> |
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| <li> |
| <ul class="inheritance"> |
| <li><a href="../../../../../../org/apache/commons/math3/stat/correlation/Covariance.html" title="class in org.apache.commons.math3.stat.correlation">org.apache.commons.math3.stat.correlation.Covariance</a></li> |
| <li> |
| <ul class="inheritance"> |
| <li>org.apache.commons.math3.stat.correlation.StorelessCovariance</li> |
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| <pre>public class <span class="strong">StorelessCovariance</span> |
| extends <a href="../../../../../../org/apache/commons/math3/stat/correlation/Covariance.html" title="class in org.apache.commons.math3.stat.correlation">Covariance</a></pre> |
| <div class="block">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(). |
| |
| <p>This class is based on a paper written by Philippe Pébay: |
| <a href="http://prod.sandia.gov/techlib/access-control.cgi/2008/086212.pdf"> |
| Formulas for Robust, One-Pass Parallel Computation of Covariances and |
| Arbitrary-Order Statistical Moments</a>, 2008, Technical Report SAND2008-6212, |
| Sandia National Laboratories.</p> |
| |
| <p>Note: the underlying covariance matrix is symmetric, thus only the |
| upper triangular part of the matrix is stored and updated each increment.</p></div> |
| <dl><dt><span class="strong">Since:</span></dt> |
| <dd>3.0</dd> |
| <dt><span class="strong">Version:</span></dt> |
| <dd>$Id: StorelessCovariance.java 1519851 2013-09-03 21:16:35Z tn $</dd></dl> |
| </li> |
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| <h3>Constructor Summary</h3> |
| <table class="overviewSummary" border="0" cellpadding="3" cellspacing="0" summary="Constructor Summary table, listing constructors, and an explanation"> |
| <caption><span>Constructors</span><span class="tabEnd"> </span></caption> |
| <tr> |
| <th class="colOne" scope="col">Constructor and Description</th> |
| </tr> |
| <tr class="altColor"> |
| <td class="colOne"><code><strong><a href="../../../../../../org/apache/commons/math3/stat/correlation/StorelessCovariance.html#StorelessCovariance(int)">StorelessCovariance</a></strong>(int dim)</code> |
| <div class="block">Create a bias corrected covariance matrix with a given dimension.</div> |
| </td> |
| </tr> |
| <tr class="rowColor"> |
| <td class="colOne"><code><strong><a href="../../../../../../org/apache/commons/math3/stat/correlation/StorelessCovariance.html#StorelessCovariance(int, boolean)">StorelessCovariance</a></strong>(int dim, |
| boolean biasCorrected)</code> |
| <div class="block">Create a covariance matrix with a given number of rows and columns and the |
| indicated bias correction.</div> |
| </td> |
| </tr> |
| </table> |
| </li> |
| </ul> |
| <!-- ========== METHOD SUMMARY =========== --> |
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| <h3>Method Summary</h3> |
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| <caption><span>Methods</span><span class="tabEnd"> </span></caption> |
| <tr> |
| <th class="colFirst" scope="col">Modifier and Type</th> |
| <th class="colLast" scope="col">Method and Description</th> |
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| <tr class="altColor"> |
| <td class="colFirst"><code>void</code></td> |
| <td class="colLast"><code><strong><a href="../../../../../../org/apache/commons/math3/stat/correlation/StorelessCovariance.html#append(org.apache.commons.math3.stat.correlation.StorelessCovariance)">append</a></strong>(<a href="../../../../../../org/apache/commons/math3/stat/correlation/StorelessCovariance.html" title="class in org.apache.commons.math3.stat.correlation">StorelessCovariance</a> sc)</code> |
| <div class="block">Appends <code>sc</code> to this, effectively aggregating the computations in <code>sc</code> |
| with this.</div> |
| </td> |
| </tr> |
| <tr class="rowColor"> |
| <td class="colFirst"><code>double</code></td> |
| <td class="colLast"><code><strong><a href="../../../../../../org/apache/commons/math3/stat/correlation/StorelessCovariance.html#getCovariance(int, int)">getCovariance</a></strong>(int xIndex, |
| int yIndex)</code> |
| <div class="block">Get the covariance for an individual element of the covariance matrix.</div> |
| </td> |
| </tr> |
| <tr class="altColor"> |
| <td class="colFirst"><code><a href="../../../../../../org/apache/commons/math3/linear/RealMatrix.html" title="interface in org.apache.commons.math3.linear">RealMatrix</a></code></td> |
| <td class="colLast"><code><strong><a href="../../../../../../org/apache/commons/math3/stat/correlation/StorelessCovariance.html#getCovarianceMatrix()">getCovarianceMatrix</a></strong>()</code> |
| <div class="block">Returns the covariance matrix</div> |
| </td> |
| </tr> |
| <tr class="rowColor"> |
| <td class="colFirst"><code>double[][]</code></td> |
| <td class="colLast"><code><strong><a href="../../../../../../org/apache/commons/math3/stat/correlation/StorelessCovariance.html#getData()">getData</a></strong>()</code> |
| <div class="block">Return the covariance matrix as two-dimensional array.</div> |
| </td> |
| </tr> |
| <tr class="altColor"> |
| <td class="colFirst"><code>int</code></td> |
| <td class="colLast"><code><strong><a href="../../../../../../org/apache/commons/math3/stat/correlation/StorelessCovariance.html#getN()">getN</a></strong>()</code> |
| <div class="block">This <a href="../../../../../../org/apache/commons/math3/stat/correlation/Covariance.html" title="class in org.apache.commons.math3.stat.correlation"><code>Covariance</code></a> method is not supported by a <a href="../../../../../../org/apache/commons/math3/stat/correlation/StorelessCovariance.html" title="class in org.apache.commons.math3.stat.correlation"><code>StorelessCovariance</code></a>, |
| since the number of bivariate observations does not have to be the same for different |
| pairs of covariates - i.e., N as defined in <a href="../../../../../../org/apache/commons/math3/stat/correlation/Covariance.html#getN()"><code>Covariance.getN()</code></a> is undefined.</div> |
| </td> |
| </tr> |
| <tr class="rowColor"> |
| <td class="colFirst"><code>void</code></td> |
| <td class="colLast"><code><strong><a href="../../../../../../org/apache/commons/math3/stat/correlation/StorelessCovariance.html#increment(double[])">increment</a></strong>(double[] data)</code> |
| <div class="block">Increment the covariance matrix with one row of data.</div> |
| </td> |
| </tr> |
| </table> |
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| <h3>Methods inherited from class org.apache.commons.math3.stat.correlation.<a href="../../../../../../org/apache/commons/math3/stat/correlation/Covariance.html" title="class in org.apache.commons.math3.stat.correlation">Covariance</a></h3> |
| <code><a href="../../../../../../org/apache/commons/math3/stat/correlation/Covariance.html#computeCovarianceMatrix(double[][])">computeCovarianceMatrix</a>, <a href="../../../../../../org/apache/commons/math3/stat/correlation/Covariance.html#computeCovarianceMatrix(double[][], boolean)">computeCovarianceMatrix</a>, <a href="../../../../../../org/apache/commons/math3/stat/correlation/Covariance.html#computeCovarianceMatrix(org.apache.commons.math3.linear.RealMatrix)">computeCovarianceMatrix</a>, <a href="../../../../../../org/apache/commons/math3/stat/correlation/Covariance.html#computeCovarianceMatrix(org.apache.commons.math3.linear.RealMatrix, boolean)">computeCovarianceMatrix</a>, <a href="../../../../../../org/apache/commons/math3/stat/correlation/Covariance.html#covariance(double[], double[])">covariance</a>, <a href="../../../../../../org/apache/commons/math3/stat/correlation/Covariance.html#covariance(double[], double[], boolean)">covariance</a></code></li> |
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| <h3>Methods inherited from class java.lang.<a href="http://docs.oracle.com/javase/6/docs/api/java/lang/Object.html?is-external=true" title="class or interface in java.lang">Object</a></h3> |
| <code><a href="http://docs.oracle.com/javase/6/docs/api/java/lang/Object.html?is-external=true#clone()" title="class or interface in java.lang">clone</a>, <a href="http://docs.oracle.com/javase/6/docs/api/java/lang/Object.html?is-external=true#equals(java.lang.Object)" title="class or interface in java.lang">equals</a>, <a href="http://docs.oracle.com/javase/6/docs/api/java/lang/Object.html?is-external=true#finalize()" title="class or interface in java.lang">finalize</a>, <a href="http://docs.oracle.com/javase/6/docs/api/java/lang/Object.html?is-external=true#getClass()" title="class or interface in java.lang">getClass</a>, <a href="http://docs.oracle.com/javase/6/docs/api/java/lang/Object.html?is-external=true#hashCode()" title="class or interface in java.lang">hashCode</a>, <a href="http://docs.oracle.com/javase/6/docs/api/java/lang/Object.html?is-external=true#notify()" title="class or interface in java.lang">notify</a>, <a href="http://docs.oracle.com/javase/6/docs/api/java/lang/Object.html?is-external=true#notifyAll()" title="class or interface in java.lang">notifyAll</a>, <a href="http://docs.oracle.com/javase/6/docs/api/java/lang/Object.html?is-external=true#toString()" title="class or interface in java.lang">toString</a>, <a href="http://docs.oracle.com/javase/6/docs/api/java/lang/Object.html?is-external=true#wait()" title="class or interface in java.lang">wait</a>, <a href="http://docs.oracle.com/javase/6/docs/api/java/lang/Object.html?is-external=true#wait(long)" title="class or interface in java.lang">wait</a>, <a href="http://docs.oracle.com/javase/6/docs/api/java/lang/Object.html?is-external=true#wait(long, int)" title="class or interface in java.lang">wait</a></code></li> |
| </ul> |
| </li> |
| </ul> |
| </li> |
| </ul> |
| </div> |
| <div class="details"> |
| <ul class="blockList"> |
| <li class="blockList"> |
| <!-- ========= CONSTRUCTOR DETAIL ======== --> |
| <ul class="blockList"> |
| <li class="blockList"><a name="constructor_detail"> |
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| </a> |
| <h3>Constructor Detail</h3> |
| <a name="StorelessCovariance(int)"> |
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| </a> |
| <ul class="blockList"> |
| <li class="blockList"> |
| <h4>StorelessCovariance</h4> |
| <pre>public StorelessCovariance(int dim)</pre> |
| <div class="block">Create a bias corrected covariance matrix with a given dimension.</div> |
| <dl><dt><span class="strong">Parameters:</span></dt><dd><code>dim</code> - the dimension of the square covariance matrix</dd></dl> |
| </li> |
| </ul> |
| <a name="StorelessCovariance(int, boolean)"> |
| <!-- --> |
| </a> |
| <ul class="blockListLast"> |
| <li class="blockList"> |
| <h4>StorelessCovariance</h4> |
| <pre>public StorelessCovariance(int dim, |
| boolean biasCorrected)</pre> |
| <div class="block">Create a covariance matrix with a given number of rows and columns and the |
| indicated bias correction.</div> |
| <dl><dt><span class="strong">Parameters:</span></dt><dd><code>dim</code> - the dimension of the covariance matrix</dd><dd><code>biasCorrected</code> - if <code>true</code> 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.</dd></dl> |
| </li> |
| </ul> |
| </li> |
| </ul> |
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| <h3>Method Detail</h3> |
| <a name="getCovariance(int, int)"> |
| <!-- --> |
| </a> |
| <ul class="blockList"> |
| <li class="blockList"> |
| <h4>getCovariance</h4> |
| <pre>public double getCovariance(int xIndex, |
| int yIndex) |
| throws <a href="../../../../../../org/apache/commons/math3/exception/NumberIsTooSmallException.html" title="class in org.apache.commons.math3.exception">NumberIsTooSmallException</a></pre> |
| <div class="block">Get the covariance for an individual element of the covariance matrix.</div> |
| <dl><dt><span class="strong">Parameters:</span></dt><dd><code>xIndex</code> - row index in the covariance matrix</dd><dd><code>yIndex</code> - column index in the covariance matrix</dd> |
| <dt><span class="strong">Returns:</span></dt><dd>the covariance of the given element</dd> |
| <dt><span class="strong">Throws:</span></dt> |
| <dd><code><a href="../../../../../../org/apache/commons/math3/exception/NumberIsTooSmallException.html" title="class in org.apache.commons.math3.exception">NumberIsTooSmallException</a></code> - if the number of observations |
| in the cell is < 2</dd></dl> |
| </li> |
| </ul> |
| <a name="increment(double[])"> |
| <!-- --> |
| </a> |
| <ul class="blockList"> |
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| <h4>increment</h4> |
| <pre>public void increment(double[] data) |
| throws <a href="../../../../../../org/apache/commons/math3/exception/DimensionMismatchException.html" title="class in org.apache.commons.math3.exception">DimensionMismatchException</a></pre> |
| <div class="block">Increment the covariance matrix with one row of data.</div> |
| <dl><dt><span class="strong">Parameters:</span></dt><dd><code>data</code> - array representing one row of data.</dd> |
| <dt><span class="strong">Throws:</span></dt> |
| <dd><code><a href="../../../../../../org/apache/commons/math3/exception/DimensionMismatchException.html" title="class in org.apache.commons.math3.exception">DimensionMismatchException</a></code> - if the length of <code>rowData</code> |
| does not match with the covariance matrix</dd></dl> |
| </li> |
| </ul> |
| <a name="append(org.apache.commons.math3.stat.correlation.StorelessCovariance)"> |
| <!-- --> |
| </a> |
| <ul class="blockList"> |
| <li class="blockList"> |
| <h4>append</h4> |
| <pre>public void append(<a href="../../../../../../org/apache/commons/math3/stat/correlation/StorelessCovariance.html" title="class in org.apache.commons.math3.stat.correlation">StorelessCovariance</a> sc) |
| throws <a href="../../../../../../org/apache/commons/math3/exception/DimensionMismatchException.html" title="class in org.apache.commons.math3.exception">DimensionMismatchException</a></pre> |
| <div class="block">Appends <code>sc</code> to this, effectively aggregating the computations in <code>sc</code> |
| with this. After invoking this method, covariances returned should be close |
| to what would have been obtained by performing all of the <a href="../../../../../../org/apache/commons/math3/stat/correlation/StorelessCovariance.html#increment(double[])"><code>increment(double[])</code></a> |
| operations in <code>sc</code> directly on this.</div> |
| <dl><dt><span class="strong">Parameters:</span></dt><dd><code>sc</code> - externally computed StorelessCovariance to add to this</dd> |
| <dt><span class="strong">Throws:</span></dt> |
| <dd><code><a href="../../../../../../org/apache/commons/math3/exception/DimensionMismatchException.html" title="class in org.apache.commons.math3.exception">DimensionMismatchException</a></code> - if the dimension of sc does not match this</dd><dt><span class="strong">Since:</span></dt> |
| <dd>3.3</dd></dl> |
| </li> |
| </ul> |
| <a name="getCovarianceMatrix()"> |
| <!-- --> |
| </a> |
| <ul class="blockList"> |
| <li class="blockList"> |
| <h4>getCovarianceMatrix</h4> |
| <pre>public <a href="../../../../../../org/apache/commons/math3/linear/RealMatrix.html" title="interface in org.apache.commons.math3.linear">RealMatrix</a> getCovarianceMatrix() |
| throws <a href="../../../../../../org/apache/commons/math3/exception/NumberIsTooSmallException.html" title="class in org.apache.commons.math3.exception">NumberIsTooSmallException</a></pre> |
| <div class="block">Returns the covariance matrix</div> |
| <dl> |
| <dt><strong>Overrides:</strong></dt> |
| <dd><code><a href="../../../../../../org/apache/commons/math3/stat/correlation/Covariance.html#getCovarianceMatrix()">getCovarianceMatrix</a></code> in class <code><a href="../../../../../../org/apache/commons/math3/stat/correlation/Covariance.html" title="class in org.apache.commons.math3.stat.correlation">Covariance</a></code></dd> |
| <dt><span class="strong">Returns:</span></dt><dd>covariance matrix</dd> |
| <dt><span class="strong">Throws:</span></dt> |
| <dd><code><a href="../../../../../../org/apache/commons/math3/exception/NumberIsTooSmallException.html" title="class in org.apache.commons.math3.exception">NumberIsTooSmallException</a></code> - if the number of observations |
| in a cell is < 2</dd></dl> |
| </li> |
| </ul> |
| <a name="getData()"> |
| <!-- --> |
| </a> |
| <ul class="blockList"> |
| <li class="blockList"> |
| <h4>getData</h4> |
| <pre>public double[][] getData() |
| throws <a href="../../../../../../org/apache/commons/math3/exception/NumberIsTooSmallException.html" title="class in org.apache.commons.math3.exception">NumberIsTooSmallException</a></pre> |
| <div class="block">Return the covariance matrix as two-dimensional array.</div> |
| <dl><dt><span class="strong">Returns:</span></dt><dd>a two-dimensional double array of covariance values</dd> |
| <dt><span class="strong">Throws:</span></dt> |
| <dd><code><a href="../../../../../../org/apache/commons/math3/exception/NumberIsTooSmallException.html" title="class in org.apache.commons.math3.exception">NumberIsTooSmallException</a></code> - if the number of observations |
| for a cell is < 2</dd></dl> |
| </li> |
| </ul> |
| <a name="getN()"> |
| <!-- --> |
| </a> |
| <ul class="blockListLast"> |
| <li class="blockList"> |
| <h4>getN</h4> |
| <pre>public int getN() |
| throws <a href="../../../../../../org/apache/commons/math3/exception/MathUnsupportedOperationException.html" title="class in org.apache.commons.math3.exception">MathUnsupportedOperationException</a></pre> |
| <div class="block">This <a href="../../../../../../org/apache/commons/math3/stat/correlation/Covariance.html" title="class in org.apache.commons.math3.stat.correlation"><code>Covariance</code></a> method is not supported by a <a href="../../../../../../org/apache/commons/math3/stat/correlation/StorelessCovariance.html" title="class in org.apache.commons.math3.stat.correlation"><code>StorelessCovariance</code></a>, |
| since the number of bivariate observations does not have to be the same for different |
| pairs of covariates - i.e., N as defined in <a href="../../../../../../org/apache/commons/math3/stat/correlation/Covariance.html#getN()"><code>Covariance.getN()</code></a> is undefined.</div> |
| <dl> |
| <dt><strong>Overrides:</strong></dt> |
| <dd><code><a href="../../../../../../org/apache/commons/math3/stat/correlation/Covariance.html#getN()">getN</a></code> in class <code><a href="../../../../../../org/apache/commons/math3/stat/correlation/Covariance.html" title="class in org.apache.commons.math3.stat.correlation">Covariance</a></code></dd> |
| <dt><span class="strong">Returns:</span></dt><dd>nothing as this implementation always throws a |
| <a href="../../../../../../org/apache/commons/math3/exception/MathUnsupportedOperationException.html" title="class in org.apache.commons.math3.exception"><code>MathUnsupportedOperationException</code></a></dd> |
| <dt><span class="strong">Throws:</span></dt> |
| <dd><code><a href="../../../../../../org/apache/commons/math3/exception/MathUnsupportedOperationException.html" title="class in org.apache.commons.math3.exception">MathUnsupportedOperationException</a></code> - in all cases</dd></dl> |
| </li> |
| </ul> |
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