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49 lines
1.1 KiB
Go
49 lines
1.1 KiB
Go
// Copyright ©2014 The gonum Authors. All rights reserved.
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// Use of this source code is governed by a BSD-style
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// license that can be found in the LICENSE file.
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package stat
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import (
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"github.com/gonum/matrix/mat64"
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)
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// CovarianceMatrix calculates a covariance matrix (also known as a
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// variance-covariance matrix) from a matrix of data.
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func CovarianceMatrix(x mat64.Matrix) *mat64.Dense {
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// matrix version of the two pass algorithm. This doesn't use
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// the correction found in the Covariance and Variance functions.
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r, _ := x.Dims()
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b := ones(1, r)
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b.Mul(b, x)
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b.Scale(1/float64(r), b)
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// todo: avoid unneeded memory expansion here.
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mu := new(mat64.Dense)
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mu.Mul(ones(r,1),b)
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// this could also be done with a clone & row viewer
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xc := mat64.DenseCopyOf(x)
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xc.Sub(xc, mu)
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// todo: avoid matrix copy
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xt := new(mat64.Dense)
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xt.TCopy(xc)
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ss := new(mat64.Dense)
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ss.Mul(xt, xc)
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ss.Scale(1/float64(r-1), ss)
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return ss
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}
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// ones is a matrix of all ones.
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func ones(r, c int) *mat64.Dense {
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x := make([]float64, r*c)
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for i := range x {
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x[i] = 1
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}
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return mat64.NewDense(r, c, x)
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}
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