Documentation API of the 'org.apache.commons.math3.stat.correlation.Covariance' Java class
Covariance
org.apache.commons.math3.stat.correlation

Class Covariance

  • Direct Known Subclasses:
    StorelessCovariance


    public class Covarianceextends 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

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