[MATH-449] Storeless covariance

• Type: Improvement
• Status: Closed
• Priority: Major
• Resolution: Fixed
• Fix Version/s: 3.0
• Assignee: Thomas Neidhart
• Reporter: Patrick Meyer
• Created: 01/Dec/10 16:11
• Updated: 24/Mar/12 16:16
• Resolved: 19/Feb/12 08:31

Description

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.

//This code is granted for inclusion in the Apache Commons under the terms of the ASL.

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;
        }
    }   
}