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view libs/commons-math-2.1/docs/apidocs/src-html/org/apache/commons/math/stat/descriptive/moment/VectorialCovariance.html @ 13:cbf34dd4d7e6
commons-math-2.1 added
| author | dwinter |
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| date | Tue, 04 Jan 2011 10:02:07 +0100 |
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<HTML> <BODY BGCOLOR="white"> <PRE> <FONT color="green">001</FONT> /*<a name="line.1"></a> <FONT color="green">002</FONT> * Licensed to the Apache Software Foundation (ASF) under one or more<a name="line.2"></a> <FONT color="green">003</FONT> * contributor license agreements. See the NOTICE file distributed with<a name="line.3"></a> <FONT color="green">004</FONT> * this work for additional information regarding copyright ownership.<a name="line.4"></a> <FONT color="green">005</FONT> * The ASF licenses this file to You under the Apache License, Version 2.0<a name="line.5"></a> <FONT color="green">006</FONT> * (the "License"); you may not use this file except in compliance with<a name="line.6"></a> <FONT color="green">007</FONT> * the License. You may obtain a copy of the License at<a name="line.7"></a> <FONT color="green">008</FONT> *<a name="line.8"></a> <FONT color="green">009</FONT> * http://www.apache.org/licenses/LICENSE-2.0<a name="line.9"></a> <FONT color="green">010</FONT> *<a name="line.10"></a> <FONT color="green">011</FONT> * Unless required by applicable law or agreed to in writing, software<a name="line.11"></a> <FONT color="green">012</FONT> * distributed under the License is distributed on an "AS IS" BASIS,<a name="line.12"></a> <FONT color="green">013</FONT> * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.<a name="line.13"></a> <FONT color="green">014</FONT> * See the License for the specific language governing permissions and<a name="line.14"></a> <FONT color="green">015</FONT> * limitations under the License.<a name="line.15"></a> <FONT color="green">016</FONT> */<a name="line.16"></a> <FONT color="green">017</FONT> package org.apache.commons.math.stat.descriptive.moment;<a name="line.17"></a> <FONT color="green">018</FONT> <a name="line.18"></a> <FONT color="green">019</FONT> import java.io.Serializable;<a name="line.19"></a> <FONT color="green">020</FONT> import java.util.Arrays;<a name="line.20"></a> <FONT color="green">021</FONT> <a name="line.21"></a> <FONT color="green">022</FONT> import org.apache.commons.math.DimensionMismatchException;<a name="line.22"></a> <FONT color="green">023</FONT> import org.apache.commons.math.linear.MatrixUtils;<a name="line.23"></a> <FONT color="green">024</FONT> import org.apache.commons.math.linear.RealMatrix;<a name="line.24"></a> <FONT color="green">025</FONT> <a name="line.25"></a> <FONT color="green">026</FONT> /**<a name="line.26"></a> <FONT color="green">027</FONT> * Returns the covariance matrix of the available vectors.<a name="line.27"></a> <FONT color="green">028</FONT> * @since 1.2<a name="line.28"></a> <FONT color="green">029</FONT> * @version $Revision: 922714 $ $Date: 2010-03-13 20:35:14 -0500 (Sat, 13 Mar 2010) $<a name="line.29"></a> <FONT color="green">030</FONT> */<a name="line.30"></a> <FONT color="green">031</FONT> public class VectorialCovariance implements Serializable {<a name="line.31"></a> <FONT color="green">032</FONT> <a name="line.32"></a> <FONT color="green">033</FONT> /** Serializable version identifier */<a name="line.33"></a> <FONT color="green">034</FONT> private static final long serialVersionUID = 4118372414238930270L;<a name="line.34"></a> <FONT color="green">035</FONT> <a name="line.35"></a> <FONT color="green">036</FONT> /** Sums for each component. */<a name="line.36"></a> <FONT color="green">037</FONT> private final double[] sums;<a name="line.37"></a> <FONT color="green">038</FONT> <a name="line.38"></a> <FONT color="green">039</FONT> /** Sums of products for each component. */<a name="line.39"></a> <FONT color="green">040</FONT> private final double[] productsSums;<a name="line.40"></a> <FONT color="green">041</FONT> <a name="line.41"></a> <FONT color="green">042</FONT> /** Indicator for bias correction. */<a name="line.42"></a> <FONT color="green">043</FONT> private final boolean isBiasCorrected;<a name="line.43"></a> <FONT color="green">044</FONT> <a name="line.44"></a> <FONT color="green">045</FONT> /** Number of vectors in the sample. */<a name="line.45"></a> <FONT color="green">046</FONT> private long n;<a name="line.46"></a> <FONT color="green">047</FONT> <a name="line.47"></a> <FONT color="green">048</FONT> /** Constructs a VectorialCovariance.<a name="line.48"></a> <FONT color="green">049</FONT> * @param dimension vectors dimension<a name="line.49"></a> <FONT color="green">050</FONT> * @param isBiasCorrected if true, computed the unbiased sample covariance,<a name="line.50"></a> <FONT color="green">051</FONT> * otherwise computes the biased population covariance<a name="line.51"></a> <FONT color="green">052</FONT> */<a name="line.52"></a> <FONT color="green">053</FONT> public VectorialCovariance(int dimension, boolean isBiasCorrected) {<a name="line.53"></a> <FONT color="green">054</FONT> sums = new double[dimension];<a name="line.54"></a> <FONT color="green">055</FONT> productsSums = new double[dimension * (dimension + 1) / 2];<a name="line.55"></a> <FONT color="green">056</FONT> n = 0;<a name="line.56"></a> <FONT color="green">057</FONT> this.isBiasCorrected = isBiasCorrected;<a name="line.57"></a> <FONT color="green">058</FONT> }<a name="line.58"></a> <FONT color="green">059</FONT> <a name="line.59"></a> <FONT color="green">060</FONT> /**<a name="line.60"></a> <FONT color="green">061</FONT> * Add a new vector to the sample.<a name="line.61"></a> <FONT color="green">062</FONT> * @param v vector to add<a name="line.62"></a> <FONT color="green">063</FONT> * @exception DimensionMismatchException if the vector does not have the right dimension<a name="line.63"></a> <FONT color="green">064</FONT> */<a name="line.64"></a> <FONT color="green">065</FONT> public void increment(double[] v) throws DimensionMismatchException {<a name="line.65"></a> <FONT color="green">066</FONT> if (v.length != sums.length) {<a name="line.66"></a> <FONT color="green">067</FONT> throw new DimensionMismatchException(v.length, sums.length);<a name="line.67"></a> <FONT color="green">068</FONT> }<a name="line.68"></a> <FONT color="green">069</FONT> int k = 0;<a name="line.69"></a> <FONT color="green">070</FONT> for (int i = 0; i < v.length; ++i) {<a name="line.70"></a> <FONT color="green">071</FONT> sums[i] += v[i];<a name="line.71"></a> <FONT color="green">072</FONT> for (int j = 0; j <= i; ++j) {<a name="line.72"></a> <FONT color="green">073</FONT> productsSums[k++] += v[i] * v[j];<a name="line.73"></a> <FONT color="green">074</FONT> }<a name="line.74"></a> <FONT color="green">075</FONT> }<a name="line.75"></a> <FONT color="green">076</FONT> n++;<a name="line.76"></a> <FONT color="green">077</FONT> }<a name="line.77"></a> <FONT color="green">078</FONT> <a name="line.78"></a> <FONT color="green">079</FONT> /**<a name="line.79"></a> <FONT color="green">080</FONT> * Get the covariance matrix.<a name="line.80"></a> <FONT color="green">081</FONT> * @return covariance matrix<a name="line.81"></a> <FONT color="green">082</FONT> */<a name="line.82"></a> <FONT color="green">083</FONT> public RealMatrix getResult() {<a name="line.83"></a> <FONT color="green">084</FONT> <a name="line.84"></a> <FONT color="green">085</FONT> int dimension = sums.length;<a name="line.85"></a> <FONT color="green">086</FONT> RealMatrix result = MatrixUtils.createRealMatrix(dimension, dimension);<a name="line.86"></a> <FONT color="green">087</FONT> <a name="line.87"></a> <FONT color="green">088</FONT> if (n > 1) {<a name="line.88"></a> <FONT color="green">089</FONT> double c = 1.0 / (n * (isBiasCorrected ? (n - 1) : n));<a name="line.89"></a> <FONT color="green">090</FONT> int k = 0;<a name="line.90"></a> <FONT color="green">091</FONT> for (int i = 0; i < dimension; ++i) {<a name="line.91"></a> <FONT color="green">092</FONT> for (int j = 0; j <= i; ++j) {<a name="line.92"></a> <FONT color="green">093</FONT> double e = c * (n * productsSums[k++] - sums[i] * sums[j]);<a name="line.93"></a> <FONT color="green">094</FONT> result.setEntry(i, j, e);<a name="line.94"></a> <FONT color="green">095</FONT> result.setEntry(j, i, e);<a name="line.95"></a> <FONT color="green">096</FONT> }<a name="line.96"></a> <FONT color="green">097</FONT> }<a name="line.97"></a> <FONT color="green">098</FONT> }<a name="line.98"></a> <FONT color="green">099</FONT> <a name="line.99"></a> <FONT color="green">100</FONT> return result;<a name="line.100"></a> <FONT color="green">101</FONT> <a name="line.101"></a> <FONT color="green">102</FONT> }<a name="line.102"></a> <FONT color="green">103</FONT> <a name="line.103"></a> <FONT color="green">104</FONT> /**<a name="line.104"></a> <FONT color="green">105</FONT> * Get the number of vectors in the sample.<a name="line.105"></a> <FONT color="green">106</FONT> * @return number of vectors in the sample<a name="line.106"></a> <FONT color="green">107</FONT> */<a name="line.107"></a> <FONT color="green">108</FONT> public long getN() {<a name="line.108"></a> <FONT color="green">109</FONT> return n;<a name="line.109"></a> <FONT color="green">110</FONT> }<a name="line.110"></a> <FONT color="green">111</FONT> <a name="line.111"></a> <FONT color="green">112</FONT> /**<a name="line.112"></a> <FONT color="green">113</FONT> * Clears the internal state of the Statistic<a name="line.113"></a> <FONT color="green">114</FONT> */<a name="line.114"></a> <FONT color="green">115</FONT> public void clear() {<a name="line.115"></a> <FONT color="green">116</FONT> n = 0;<a name="line.116"></a> <FONT color="green">117</FONT> Arrays.fill(sums, 0.0);<a name="line.117"></a> <FONT color="green">118</FONT> Arrays.fill(productsSums, 0.0);<a name="line.118"></a> <FONT color="green">119</FONT> }<a name="line.119"></a> <FONT color="green">120</FONT> <a name="line.120"></a> <FONT color="green">121</FONT> /** {@inheritDoc} */<a name="line.121"></a> <FONT color="green">122</FONT> @Override<a name="line.122"></a> <FONT color="green">123</FONT> public int hashCode() {<a name="line.123"></a> <FONT color="green">124</FONT> final int prime = 31;<a name="line.124"></a> <FONT color="green">125</FONT> int result = 1;<a name="line.125"></a> <FONT color="green">126</FONT> result = prime * result + (isBiasCorrected ? 1231 : 1237);<a name="line.126"></a> <FONT color="green">127</FONT> result = prime * result + (int) (n ^ (n >>> 32));<a name="line.127"></a> <FONT color="green">128</FONT> result = prime * result + Arrays.hashCode(productsSums);<a name="line.128"></a> <FONT color="green">129</FONT> result = prime * result + Arrays.hashCode(sums);<a name="line.129"></a> <FONT color="green">130</FONT> return result;<a name="line.130"></a> <FONT color="green">131</FONT> }<a name="line.131"></a> <FONT color="green">132</FONT> <a name="line.132"></a> <FONT color="green">133</FONT> /** {@inheritDoc} */<a name="line.133"></a> <FONT color="green">134</FONT> @Override<a name="line.134"></a> <FONT color="green">135</FONT> public boolean equals(Object obj) {<a name="line.135"></a> <FONT color="green">136</FONT> if (this == obj)<a name="line.136"></a> <FONT color="green">137</FONT> return true;<a name="line.137"></a> <FONT color="green">138</FONT> if (!(obj instanceof VectorialCovariance))<a name="line.138"></a> <FONT color="green">139</FONT> return false;<a name="line.139"></a> <FONT color="green">140</FONT> VectorialCovariance other = (VectorialCovariance) obj;<a name="line.140"></a> <FONT color="green">141</FONT> if (isBiasCorrected != other.isBiasCorrected)<a name="line.141"></a> <FONT color="green">142</FONT> return false;<a name="line.142"></a> <FONT color="green">143</FONT> if (n != other.n)<a name="line.143"></a> <FONT color="green">144</FONT> return false;<a name="line.144"></a> <FONT color="green">145</FONT> if (!Arrays.equals(productsSums, other.productsSums))<a name="line.145"></a> <FONT color="green">146</FONT> return false;<a name="line.146"></a> <FONT color="green">147</FONT> if (!Arrays.equals(sums, other.sums))<a name="line.147"></a> <FONT color="green">148</FONT> return false;<a name="line.148"></a> <FONT color="green">149</FONT> return true;<a name="line.149"></a> <FONT color="green">150</FONT> }<a name="line.150"></a> <FONT color="green">151</FONT> <a name="line.151"></a> <FONT color="green">152</FONT> }<a name="line.152"></a> </PRE> </BODY> </HTML>