Class StorelessCovariance

  • public class StorelessCovariance
    extends Covariance
    Covariance implementation that does not require input data to be stored in memory. The size of the covariance matrix is specified in the constructor. Specific elements of the matrix are incrementally updated with calls to incrementRow() or increment Covariance().

    This class is based on a paper written by Philippe Pébay: Formulas for Robust, One-Pass Parallel Computation of Covariances and Arbitrary-Order Statistical Moments, 2008, Technical Report SAND2008-6212, Sandia National Laboratories.

    Note: the underlying covariance matrix is symmetric, thus only the upper triangular part of the matrix is stored and updated each increment.