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From "Phil Steitz (JIRA)" <j...@apache.org>
Subject [jira] Updated: (MATH-449) Storeless covariance
Date Sun, 12 Dec 2010 21:57:01 GMT

     [ https://issues.apache.org/jira/browse/MATH-449?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
]

Phil Steitz updated MATH-449:
-----------------------------

    Fix Version/s: 3.0

> Storeless covariance
> --------------------
>
>                 Key: MATH-449
>                 URL: https://issues.apache.org/jira/browse/MATH-449
>             Project: Commons Math
>          Issue Type: Improvement
>            Reporter: Patrick Meyer
>             Fix For: 3.0
>
>   Original Estimate: 168h
>  Remaining Estimate: 168h
>
> Currently there is no storeless version for computing the covariance. However, Pebay
(2008) describes algorithms for on-line covariance computations, [http://infoserve.sandia.gov/sand_doc/2008/086212.pdf].
I have provided a simple class for implementing this algorithm. It would be nice to have this
integrated into org.apache.commons.math.stat.correlation.Covariance.
> {code}
> public class StorelessCovariance{
>     private double deltaX = 0.0;
>     private double deltaY = 0.0;
>     private double meanX = 0.0;
>     private double meanY = 0.0;
>     private double N=0;
>     private Double covarianceNumerator=0.0;
>     private boolean unbiased=true;
>     public Covariance(boolean unbiased){
> 	this.unbiased = unbiased;
>     }
>     public void increment(Double x, Double y){
>         if(x!=null & y!=null){
>             N++;
>             deltaX = x - meanX;
>             deltaY = y - meanY;
>             meanX += deltaX/N;
>             meanY += deltaY/N;
>             covarianceNumerator += ((N-1.0)/N)*deltaX*deltaY;
>         }
>         
>     }
>     public Double getResult(){
>         if(unbiased){
>             return covarianceNumerator/(N-1.0);
>         }else{
>             return covarianceNumerator/N;
>         }
>     }   
> }
> {code}

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