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/* 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);
}
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