diff options
Diffstat (limited to 'gsl-1.9/statistics/covariance_source.c')
-rw-r--r-- | gsl-1.9/statistics/covariance_source.c | 77 |
1 files changed, 77 insertions, 0 deletions
diff --git a/gsl-1.9/statistics/covariance_source.c b/gsl-1.9/statistics/covariance_source.c new file mode 100644 index 0000000..411e347 --- /dev/null +++ b/gsl-1.9/statistics/covariance_source.c @@ -0,0 +1,77 @@ +/* statistics/covar_source.c + * + * Copyright (C) 1996, 1997, 1998, 1999, 2000 Jim Davies, Brian Gough + * + * This program is free software; you can redistribute it and/or modify + * it under the terms of the GNU General Public License as published by + * the Free Software Foundation; either version 2 of the License, or (at + * your option) any later version. + * + * This program is distributed in the hope that it will be useful, but + * WITHOUT ANY WARRANTY; without even the implied warranty of + * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU + * General Public License for more details. + * + * You should have received a copy of the GNU General Public License + * along with this program; if not, write to the Free Software + * Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301, USA. + */ + +static double +FUNCTION(compute,covariance) (const BASE data1[], const size_t stride1, + const BASE data2[], const size_t stride2, + const size_t n, + const double mean1, const double mean2); + +static double +FUNCTION(compute,covariance) (const BASE data1[], const size_t stride1, + const BASE data2[], const size_t stride2, + const size_t n, + const double mean1, const double mean2) +{ + /* takes a dataset and finds the covariance */ + + long double covariance = 0 ; + + size_t i; + + /* find the sum of the squares */ + for (i = 0; i < n; i++) + { + const long double delta1 = (data1[i * stride1] - mean1); + const long double delta2 = (data2[i * stride2] - mean2); + covariance += (delta1 * delta2 - covariance) / (i + 1); + } + + return covariance ; +} + +double +FUNCTION(gsl_stats,covariance_m) (const BASE data1[], const size_t stride1, + const BASE data2[], const size_t stride2, + const size_t n, + const double mean1, const double mean2) +{ + const double covariance = FUNCTION(compute,covariance) (data1, stride1, + data2, stride2, + n, + mean1, mean2); + + return covariance * ((double)n / (double)(n - 1)); +} + +double +FUNCTION(gsl_stats,covariance) (const BASE data1[], const size_t stride1, + const BASE data2[], const size_t stride2, + const size_t n) +{ + const double mean1 = FUNCTION(gsl_stats,mean) (data1, stride1, n); + const double mean2 = FUNCTION(gsl_stats,mean) (data2, stride2, n); + + return FUNCTION(gsl_stats,covariance_m)(data1, stride1, + data2, stride2, + n, + mean1, mean2); +} + + |