Package org.apache.commons.math.stat.correlation

Class Covariance

  • public class Covariance
extends java.lang.Object
    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

    Since:
    2.0
    Version:
    $Revision: 983921 $ $Date: 2010-08-10 12:46:06 +0200 (mar. 10 août 2010) $

    • Constructor Summary

      Constructors 
      Constructor 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.

    • Method Summary

      All Methods Instance Methods Concrete Methods 
      Modifier and Type Method Description
      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

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

    • Constructor Detail

      • Covariance

        public Covariance()
        Create a Covariance with no data

      • Covariance

        public Covariance​(double[][] data,
                  boolean biasCorrected)
        Create a Covariance matrix from a rectangular array whose columns represent covariates.

        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.

        Parameters:
        data - rectangular array with columns representing covariates
        biasCorrected - true means covariances are bias-corrected
        Throws:
        java.lang.IllegalArgumentException - if the input data array is not rectangular with at least two rows and two columns.

      • Covariance

        public Covariance​(double[][] data)
        Create a Covariance matrix from a rectangular array whose columns represent covariates.

        The input array must be rectangular with at least two columns and two rows

        Parameters:
        data - rectangular array with columns representing covariates
        Throws:
        java.lang.IllegalArgumentException - if the input data array is not rectangular with at least two rows and two columns.

      • Covariance

        public Covariance​(RealMatrix matrix,
                  boolean biasCorrected)
        Create a covariance matrix from a matrix whose columns represent covariates.

        The biasCorrected parameter determines whether or not covariance estimates are bias-corrected.

        The matrix must have at least two columns and two rows

        Parameters:
        matrix - matrix with columns representing covariates
        biasCorrected - true means covariances are bias-corrected
        Throws:
        java.lang.IllegalArgumentException - if the input matrix does not have at least two rows and two columns

      • Covariance

        public Covariance​(RealMatrix matrix)
        Create a covariance matrix from a matrix whose columns represent covariates.

        The matrix must have at least two columns and two rows

        Parameters:
        matrix - matrix with columns representing covariates
        Throws:
        java.lang.IllegalArgumentException - if the input matrix does not have at least two rows and two columns

    • Method Detail

      • getCovarianceMatrix

        public RealMatrix getCovarianceMatrix()
        Returns the covariance matrix
        Returns:
        covariance matrix

      • getN

        public int getN()
        Returns the number of observations (length of covariate vectors)
        Returns:
        number of observations

      • computeCovarianceMatrix

        protected RealMatrix computeCovarianceMatrix​(RealMatrix matrix,
                                             boolean biasCorrected)
        Compute a covariance matrix from a matrix whose columns represent covariates.
        Parameters:
        matrix - input matrix (must have at least two columns and two rows)
        biasCorrected - determines whether or not covariance estimates are bias-corrected
        Returns:
        covariance matrix

      • computeCovarianceMatrix

        protected RealMatrix computeCovarianceMatrix​(RealMatrix matrix)
        Create a covariance matrix from a matrix whose columns represent covariates. Covariances are computed using the bias-corrected formula.
        Parameters:
        matrix - input matrix (must have at least two columns and two rows)
        Returns:
        covariance matrix
        See Also:
        Covariance(org.apache.commons.math.linear.RealMatrix)

      • computeCovarianceMatrix

        protected RealMatrix computeCovarianceMatrix​(double[][] data,
                                             boolean biasCorrected)
        Compute a covariance matrix from a rectangular array whose columns represent covariates.
        Parameters:
        data - input array (must have at least two columns and two rows)
        biasCorrected - determines whether or not covariance estimates are bias-corrected
        Returns:
        covariance matrix

      • computeCovarianceMatrix

        protected RealMatrix computeCovarianceMatrix​(double[][] data)
        Create a covariance matrix from a rectangual array whose columns represent covariates. Covariances are computed using the bias-corrected formula.
        Parameters:
        data - input array (must have at least two columns and two rows)
        Returns:
        covariance matrix
        See Also:
        Covariance(org.apache.commons.math.linear.RealMatrix)

      • covariance

        public double covariance​(double[] xArray,
                         double[] yArray,
                         boolean biasCorrected)
                  throws java.lang.IllegalArgumentException
        Computes the covariance between the two arrays.

        Array lengths must match and the common length must be at least 2.

        Parameters:
        xArray - first data array
        yArray - second data array
        biasCorrected - if true, returned value will be bias-corrected
        Returns:
        returns the covariance for the two arrays
        Throws:
        java.lang.IllegalArgumentException - if the arrays lengths do not match or there is insufficient data

      • covariance

        public double covariance​(double[] xArray,
                         double[] yArray)
                  throws java.lang.IllegalArgumentException
        Computes the covariance between the two arrays, using the bias-corrected formula.

        Array lengths must match and the common length must be at least 2.

        Parameters:
        xArray - first data array
        yArray - second data array
        Returns:
        returns the covariance for the two arrays
        Throws:
        java.lang.IllegalArgumentException - if the arrays lengths do not match or there is insufficient data