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comment for source of covariance algo

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Jonathan J Lawlor
2014-11-14 00:07:45 -05:00
parent 530d3d8d07
commit a766f2b2b7
1 changed files with 3 additions and 4 deletions
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7
stat.go
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@@ -187,10 +187,9 @@ func Correlation(x, y, weights []float64) float64 {
// The lengths of x and y must be equal. If weights is nil then all of the
// weights are 1. If weights is not nil, then len(x) must equal len(weights).
func Covariance(x, y, weights []float64) float64 {
// don't have a paper for this, but the unweighted adaptation seems natural.
// The weighted version doesn't perform a correction. It seemed like the
// performance would suffer too much.
// This is a two-pass corrected implementation. It is an adaptation of the
// algorithm used in the MeanVariance function, which applies a correction
// to the typical two pass approach.
if len(x) != len(y) {
panic("stat: slice length mismatch")