org.apache.commons.math3.stat.correlation

Class StorelessCovariance

java.lang.Object

org.apache.commons.math3.stat.correlation.Covariance

org.apache.commons.math3.stat.correlation.StorelessCovariance

public class StorelessCovariance
extends Covariance

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().

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.

Note: the underlying covariance matrix is symmetric, thus only the upper triangular part of the matrix is stored and updated each increment.

Since:

3.0

Version:

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

Field Summary

Fields

Modifier and Type	Field and Description
private StorelessBivariateCovariance[]	covMatrix the square covariance matrix (upper triangular part)
private int	dimension dimension of the square covariance matrix

Constructor Summary

Constructors

Constructor and Description
StorelessCovariance(int dim) Create a bias corrected covariance matrix with a given dimension.
StorelessCovariance(int dim, boolean biasCorrected) Create a covariance matrix with a given number of rows and columns and the indicated bias correction.

Method Summary

Methods

Modifier and Type	Method and Description
double	getCovariance(int xIndex, int yIndex) Get the covariance for an individual element of the covariance matrix.
RealMatrix	getCovarianceMatrix() Returns the covariance matrix
double[][]	getData() Return the covariance matrix as two-dimensional array.
private StorelessBivariateCovariance	getElement(int i, int j) Gets the element at index (i, j) from the covariance matrix
int	getN() This Covariance method is not supported by a StorelessCovariance, since the number of bivariate observations does not have to be the same for different pairs of covariates - i.e., N as defined in Covariance.getN() is undefined.
void	increment(double[] data) Increment the covariance matrix with one row of data.
private int	indexOf(int i, int j) Returns the index (i, j) translated into the one-dimensional array used to store the upper triangular part of the symmetric covariance matrix.
private void	initializeMatrix(boolean biasCorrected) Initialize the internal two-dimensional array of StorelessBivariateCovariance instances.
private void	setElement(int i, int j, StorelessBivariateCovariance cov) Sets the covariance element at index (i, j) in the covariance matrix

Methods inherited from class org.apache.commons.math3.stat.correlation.Covariance

computeCovarianceMatrix, computeCovarianceMatrix, computeCovarianceMatrix, computeCovarianceMatrix, covariance, covariance

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

covMatrix

private StorelessBivariateCovariance[] covMatrix

the square covariance matrix (upper triangular part)

dimension

private int dimension

dimension of the square covariance matrix

Constructor Detail

StorelessCovariance

public StorelessCovariance(int dim)

Create a bias corrected covariance matrix with a given dimension.

Parameters:

dim - the dimension of the square covariance matrix

StorelessCovariance

public StorelessCovariance(int dim,
                   boolean biasCorrected)

Create a covariance matrix with a given number of rows and columns and the indicated bias correction.

Parameters:

dim - the dimension of the covariance matrix

biasCorrected - 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

initializeMatrix

private void initializeMatrix(boolean biasCorrected)

Initialize the internal two-dimensional array of StorelessBivariateCovariance instances.

Parameters:

biasCorrected - if the covariance estimate shall be corrected for bias

indexOf

private int indexOf(int i,
          int j)

Returns the index (i, j) translated into the one-dimensional array used to store the upper triangular part of the symmetric covariance matrix.

Parameters:

i - the row index

j - the column index

Returns:

the corresponding index in the matrix array

getElement

private StorelessBivariateCovariance getElement(int i,
                                      int j)

Gets the element at index (i, j) from the covariance matrix

Parameters:

i - the row index

j - the column index

Returns:

the StorelessBivariateCovariance element at the given index

setElement

private void setElement(int i,
              int j,
              StorelessBivariateCovariance cov)

Sets the covariance element at index (i, j) in the covariance matrix

Parameters:

i - the row index

j - the column index

cov - the StorelessBivariateCovariance element to be set

getCovariance

public double getCovariance(int xIndex,
                   int yIndex)
                     throws NumberIsTooSmallException

Get the covariance for an individual element of the covariance matrix.

Parameters:

xIndex - row index in the covariance matrix

yIndex - column index in the covariance matrix

Returns:

the covariance of the given element

Throws:

NumberIsTooSmallException - if the number of observations in the cell is < 2

increment

public void increment(double[] data)
               throws DimensionMismatchException

Increment the covariance matrix with one row of data.

Parameters:

data - array representing one row of data.

Throws:

DimensionMismatchException - if the length of rowData does not match with the covariance matrix

getCovarianceMatrix

public RealMatrix getCovarianceMatrix()
                               throws NumberIsTooSmallException

Returns the covariance matrix

Overrides:

getCovarianceMatrix in class Covariance

Returns:

covariance matrix

Throws:

NumberIsTooSmallException - if the number of observations in a cell is < 2

getData

public double[][] getData()
                   throws NumberIsTooSmallException

Return the covariance matrix as two-dimensional array.

Returns:

a two-dimensional double array of covariance values

Throws:

NumberIsTooSmallException - if the number of observations for a cell is < 2

getN

public int getN()
         throws MathUnsupportedOperationException

This Covariance method is not supported by a StorelessCovariance, since the number of bivariate observations does not have to be the same for different pairs of covariates - i.e., N as defined in Covariance.getN() is undefined.

Overrides:

getN in class Covariance

Returns:

nothing as this implementation always throws a MathUnsupportedOperationException

Throws:

MathUnsupportedOperationException - in all cases