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java.lang.Objectorg.apache.commons.math.stat.correlation.Covariance
public class Covariance
Computes covariances for pairs of arrays or columns of a matrix.
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
Constructor Summary | |
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Covariance()
Create a Covariance with no data |
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Covariance(double[][] data)
Create a Covariance matrix from a rectangular array whose columns represent covariates. |
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Covariance(double[][] data,
boolean biasCorrected)
Create a Covariance matrix from a rectangular array whose columns represent covariates. |
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Covariance(RealMatrix matrix)
Create a covariance matrix from a matrix whose columns represent covariates. |
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Covariance(RealMatrix matrix,
boolean biasCorrected)
Create a covariance matrix from a matrix whose columns represent covariates. |
Method Summary | |
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protected RealMatrix |
computeCovarianceMatrix(double[][] data)
Create a covariance matrix from a rectangual 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) |
Methods inherited from class java.lang.Object |
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clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
Constructor Detail |
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public Covariance()
public Covariance(double[][] data, boolean biasCorrected)
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-corrected
java.lang.IllegalArgumentException
- if the input data array is not
rectangular with at least two rows and two columns.public Covariance(double[][] data)
The input array must be rectangular with at least two columns and two rows
data
- rectangular array with columns representing covariates
java.lang.IllegalArgumentException
- if the input data array is not
rectangular with at least two rows and two columns.public Covariance(RealMatrix matrix, boolean biasCorrected)
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-corrected
java.lang.IllegalArgumentException
- if the input matrix does not have
at least two rows and two columnspublic Covariance(RealMatrix matrix)
The matrix must have at least two columns and two rows
matrix
- matrix with columns representing covariates
java.lang.IllegalArgumentException
- if the input matrix does not have
at least two rows and two columnsMethod Detail |
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public RealMatrix getCovarianceMatrix()
public int getN()
protected RealMatrix computeCovarianceMatrix(RealMatrix matrix, boolean biasCorrected)
matrix
- input matrix (must have at least two columns and two rows)biasCorrected
- determines whether or not covariance estimates are bias-corrected
protected RealMatrix computeCovarianceMatrix(RealMatrix matrix)
matrix
- input matrix (must have at least two columns and two rows)
Covariance(org.apache.commons.math.linear.RealMatrix)
protected RealMatrix computeCovarianceMatrix(double[][] data, boolean biasCorrected)
data
- input array (must have at least two columns and two rows)biasCorrected
- determines whether or not covariance estimates are bias-corrected
protected RealMatrix computeCovarianceMatrix(double[][] data)
data
- input array (must have at least two columns and two rows)
Covariance(org.apache.commons.math.linear.RealMatrix)
public double covariance(double[] xArray, double[] yArray, boolean biasCorrected) throws java.lang.IllegalArgumentException
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-corrected
java.lang.IllegalArgumentException
- if the arrays lengths do not match or
there is insufficient datapublic double covariance(double[] xArray, double[] yArray) throws java.lang.IllegalArgumentException
Array lengths must match and the common length must be at least 2.
xArray
- first data arrayyArray
- second data array
java.lang.IllegalArgumentException
- if the arrays lengths do not match or
there is insufficient data
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