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1   /*
2    * Licensed to the Apache Software Foundation (ASF) under one or more
3    * contributor license agreements.  See the NOTICE file distributed with
4    * this work for additional information regarding copyright ownership.
5    * The ASF licenses this file to You under the Apache License, Version 2.0
6    * (the "License"); you may not use this file except in compliance with
7    * the License.  You may obtain a copy of the License at
8    *
9    *      http://www.apache.org/licenses/LICENSE-2.0
10   *
11   * Unless required by applicable law or agreed to in writing, software
12   * distributed under the License is distributed on an "AS IS" BASIS,
13   * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
14   * See the License for the specific language governing permissions and
15   * limitations under the License.
16   */
17  package org.apache.commons.math.stat.descriptive.moment;
18  
19  import java.io.Serializable;
20  import java.util.Arrays;
21  
22  import org.apache.commons.math.DimensionMismatchException;
23  import org.apache.commons.math.linear.RealMatrix;
24  import org.apache.commons.math.linear.RealMatrixImpl;
25  
26  /**
27   * Returns the covariance matrix of the available vectors.
28   * @since 1.2
29   * @version $Revision: 619928 $ $Date: 2008-02-08 09:19:17 -0700 (Fri, 08 Feb 2008) $
30   */
31  public class VectorialCovariance implements Serializable {
32  
33      /** Serializable version identifier */
34      private static final long serialVersionUID = 4118372414238930270L;
35  
36      /** Sums for each component. */
37      private double[] sums;
38  
39      /** Sums of products for each component. */
40      private double[] productsSums;
41  
42      /** Indicator for bias correction. */
43      private boolean isBiasCorrected;
44  
45      /** Number of vectors in the sample. */
46      private long n;
47  
48      /** Constructs a VectorialMean.
49       * @param dimension vectors dimension
50       * @param isBiasCorrected if true, computed the unbiased sample covariance,
51       * otherwise computes the biased population covariance
52       */
53      public VectorialCovariance(int dimension, boolean isBiasCorrected) {
54          sums         = new double[dimension];
55          productsSums = new double[dimension * (dimension + 1) / 2];
56          n            = 0;
57          this.isBiasCorrected = isBiasCorrected;
58      }
59  
60      /**
61       * Add a new vector to the sample.
62       * @param v vector to add
63       * @exception DimensionMismatchException if the vector does not have the right dimension
64       */
65      public void increment(double[] v) throws DimensionMismatchException {
66          if (v.length != sums.length) {
67              throw new DimensionMismatchException(v.length, sums.length);
68          }
69          int k = 0;
70          for (int i = 0; i < v.length; ++i) {
71              sums[i] += v[i];
72              for (int j = 0; j <= i; ++j) {
73                  productsSums[k++] += v[i] * v[j];
74              }
75          }
76          n++;
77      }
78  
79      /**
80       * Get the covariance matrix.
81       * @return covariance matrix
82       */
83      public RealMatrix getResult() {
84  
85          int dimension = sums.length;
86          RealMatrixImpl result = new RealMatrixImpl(dimension, dimension);
87  
88          if (n > 1) {
89              double[][] resultData = result.getDataRef();
90              double c = 1.0 / (n * (isBiasCorrected ? (n - 1) : n));
91              int k = 0;
92              for (int i = 0; i < dimension; ++i) {
93                  for (int j = 0; j <= i; ++j) {
94                      double e = c * (n * productsSums[k++] - sums[i] * sums[j]);
95                      resultData[i][j] = e;
96                      resultData[j][i] = e;
97                  }
98              }
99          }
100 
101         return result;
102 
103     }
104 
105     /**
106      * Get the number of vectors in the sample.
107      * @return number of vectors in the sample
108      */
109     public long getN() {
110         return n;
111     }
112 
113     /**
114      * Clears the internal state of the Statistic
115      */
116     public void clear() {
117         n = 0;
118         Arrays.fill(sums, 0.0);
119         Arrays.fill(productsSums, 0.0);
120     }
121 
122 }