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About stdlib...

We believe in a future in which the web is a preferred environment for numerical computation. To help realize this future, we've built stdlib. stdlib is a standard library, with an emphasis on numerical and scientific computation, written in JavaScript (and C) for execution in browsers and in Node.js.

The library is fully decomposable, being architected in such a way that you can swap out and mix and match APIs and functionality to cater to your exact preferences and use cases.

When you use stdlib, you can be absolutely certain that you are using the most thorough, rigorous, well-written, studied, documented, tested, measured, and high-quality code out there.

To join us in bringing numerical computing to the web, get started by checking us out on GitHub, and please consider financially supporting stdlib. We greatly appreciate your continued support!

incrcovariance

NPM version Build Status Coverage Status

Compute an unbiased sample covariance incrementally.

For unknown population means, the unbiased sample covariance is defined as

$$\mathop{\mathrm{cov_n}} = \frac{1}{n-1} \sum_{i=0}^{n-1} (x_i - \bar{x}_n)(y_i - \bar{y}_n)$$

For known population means, the unbiased sample covariance is defined as

$$\mathop{\mathrm{cov_n}} = \frac{1}{n} \sum_{i=0}^{n-1} (x_i - \mu_x)(y_i - \mu_y)$$

Usage

import incrcovariance from 'https://cdn.jsdelivr.net/gh/stdlib-js/stats-incr-covariance@deno/mod.js';

incrcovariance( [mx, my] )

Returns an accumulator function which incrementally computes an unbiased sample covariance.

var accumulator = incrcovariance();

If the means are already known, provide mx and my arguments.

var accumulator = incrcovariance( 3.0, -5.5 );

accumulator( [x, y] )

If provided input values x and y, the accumulator function returns an updated unbiased sample covariance. If not provided input values x and y, the accumulator function returns the current unbiased sample covariance.

var accumulator = incrcovariance();

var v = accumulator( 2.0, 1.0 );
// returns 0.0

v = accumulator( 1.0, -5.0 );
// returns 3.0

v = accumulator( 3.0, 3.14 );
// returns 4.07

v = accumulator();
// returns 4.07

Notes

  • Input values are not type checked. If provided NaN or a value which, when used in computations, results in NaN, the accumulated value is NaN for all future invocations. If non-numeric inputs are possible, you are advised to type check and handle accordingly before passing the value to the accumulator function.

Examples

import randu from 'https://cdn.jsdelivr.net/gh/stdlib-js/random-base-randu@deno/mod.js';
import incrcovariance from 'https://cdn.jsdelivr.net/gh/stdlib-js/stats-incr-covariance@deno/mod.js';

var accumulator;
var x;
var y;
var i;

// Initialize an accumulator:
accumulator = incrcovariance();

// For each simulated datum, update the unbiased sample covariance...
for ( i = 0; i < 100; i++ ) {
    x = randu() * 100.0;
    y = randu() * 100.0;
    accumulator( x, y );
}
console.log( accumulator() );

See Also


Notice

This package is part of stdlib, a standard library with an emphasis on numerical and scientific computing. The library provides a collection of robust, high performance libraries for mathematics, statistics, streams, utilities, and more.

For more information on the project, filing bug reports and feature requests, and guidance on how to develop stdlib, see the main project repository.

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License

See LICENSE.

Copyright

Copyright © 2016-2024. The Stdlib Authors.