org.apache.commons.math3.stat.correlation
public class Covariance extends java.lang.Object
The constructors that take RealMatrix
or
double[][]
arguments generate covariance matrices. The
columns of the input matrices are assumed to represent variable values.
The constructor argument biasCorrected
determines whether or
not computed covariances are bias-corrected.
Unbiased covariances are given by the formula
cov(X, Y) = Σ[(xi - E(X))(yi - E(Y))] / (n - 1)
where E(X)
is the mean of X
and E(Y)
is the mean of the Y
values.
Non-bias-corrected estimates use n
in place of n - 1
Modifier and Type | Field and Description |
---|---|
private RealMatrix |
covarianceMatrix
covariance matrix
|
private int |
n
Number of observations (length of covariate vectors)
|
Constructor and Description |
---|
Covariance()
Create a Covariance with no data
|
Covariance(double[][] data)
Create a Covariance matrix from a rectangular array
whose columns represent covariates.
|
Covariance(double[][] data,
boolean biasCorrected)
Create a Covariance matrix from a rectangular array
whose columns represent covariates.
|
Covariance(RealMatrix matrix)
Create a covariance matrix from a matrix whose columns
represent covariates.
|
Covariance(RealMatrix matrix,
boolean biasCorrected)
Create a covariance matrix from a matrix whose columns
represent covariates.
|
Modifier and Type | Method and Description |
---|---|
private void |
checkSufficientData(RealMatrix matrix)
Throws MathIllegalArgumentException if the matrix does not have at least
two columns and two rows.
|
protected RealMatrix |
computeCovarianceMatrix(double[][] data)
Create a covariance matrix from a rectangular array whose columns represent
covariates.
|
protected RealMatrix |
computeCovarianceMatrix(double[][] data,
boolean biasCorrected)
Compute a covariance matrix from a rectangular array whose columns represent
covariates.
|
protected RealMatrix |
computeCovarianceMatrix(RealMatrix matrix)
Create a covariance matrix from a matrix whose columns represent
covariates.
|
protected RealMatrix |
computeCovarianceMatrix(RealMatrix matrix,
boolean biasCorrected)
Compute a covariance matrix from a matrix whose columns represent
covariates.
|
double |
covariance(double[] xArray,
double[] yArray)
Computes the covariance between the two arrays, using the bias-corrected
formula.
|
double |
covariance(double[] xArray,
double[] yArray,
boolean biasCorrected)
Computes the covariance between the two arrays.
|
RealMatrix |
getCovarianceMatrix()
Returns the covariance matrix
|
int |
getN()
Returns the number of observations (length of covariate vectors)
|
private final RealMatrix covarianceMatrix
private final int n
public Covariance()
public Covariance(double[][] data, boolean biasCorrected) throws MathIllegalArgumentException
The biasCorrected
parameter determines whether or not
covariance estimates are bias-corrected.
The input array must be rectangular with at least two columns and two rows.
data
- rectangular array with columns representing covariatesbiasCorrected
- true means covariances are bias-correctedMathIllegalArgumentException
- if the input data array is not
rectangular with at least two rows and two columns.public Covariance(double[][] data) throws MathIllegalArgumentException
The input array must be rectangular with at least two columns and two rows
data
- rectangular array with columns representing covariatesMathIllegalArgumentException
- if the input data array is not
rectangular with at least two rows and two columns.public Covariance(RealMatrix matrix, boolean biasCorrected) throws MathIllegalArgumentException
The biasCorrected
parameter determines whether or not
covariance estimates are bias-corrected.
The matrix must have at least two columns and two rows
matrix
- matrix with columns representing covariatesbiasCorrected
- true means covariances are bias-correctedMathIllegalArgumentException
- if the input matrix does not have
at least two rows and two columnspublic Covariance(RealMatrix matrix) throws MathIllegalArgumentException
The matrix must have at least two columns and two rows
matrix
- matrix with columns representing covariatesMathIllegalArgumentException
- if the input matrix does not have
at least two rows and two columnspublic RealMatrix getCovarianceMatrix()
public int getN()
protected RealMatrix computeCovarianceMatrix(RealMatrix matrix, boolean biasCorrected) throws MathIllegalArgumentException
matrix
- input matrix (must have at least two columns and two rows)biasCorrected
- determines whether or not covariance estimates are bias-correctedMathIllegalArgumentException
- if the matrix does not contain sufficient dataprotected RealMatrix computeCovarianceMatrix(RealMatrix matrix) throws MathIllegalArgumentException
matrix
- input matrix (must have at least two columns and two rows)MathIllegalArgumentException
- if matrix does not contain sufficient dataCovariance(org.apache.commons.math3.linear.RealMatrix)
protected RealMatrix computeCovarianceMatrix(double[][] data, boolean biasCorrected) throws MathIllegalArgumentException
data
- input array (must have at least two columns and two rows)biasCorrected
- determines whether or not covariance estimates are bias-correctedMathIllegalArgumentException
- if the data array does not contain sufficient
dataprotected RealMatrix computeCovarianceMatrix(double[][] data) throws MathIllegalArgumentException
data
- input array (must have at least two columns and two rows)MathIllegalArgumentException
- if the data array does not contain sufficient dataCovariance(org.apache.commons.math3.linear.RealMatrix)
public double covariance(double[] xArray, double[] yArray, boolean biasCorrected) throws MathIllegalArgumentException
Array lengths must match and the common length must be at least 2.
xArray
- first data arrayyArray
- second data arraybiasCorrected
- if true, returned value will be bias-correctedMathIllegalArgumentException
- if the arrays lengths do not match or
there is insufficient datapublic double covariance(double[] xArray, double[] yArray) throws MathIllegalArgumentException
Array lengths must match and the common length must be at least 2.
xArray
- first data arrayyArray
- second data arrayMathIllegalArgumentException
- if the arrays lengths do not match or
there is insufficient dataprivate void checkSufficientData(RealMatrix matrix) throws MathIllegalArgumentException
matrix
- matrix to checkMathIllegalArgumentException
- if the matrix does not contain sufficient data
to compute covarianceCopyright (c) 2003-2013 Apache Software Foundation