linalg.h File Reference

Linear algebra class. More...

#include "debug.h"

Go to the source code of this file.

Classes
class	matrix
Functions
matrix	covar2 (matrix const &X, matrix const &Y)
	calculates empirical covariance (columnwise) of two matrices.

---

Detailed Description

Linear algebra class.

Date:

Jan 2005

Definition in file linalg.h.

---

Function Documentation

matrix covar2 (  matrix const &  X, matrix const &  Y )

calculates empirical covariance (columnwise) of two matrices. If matrix 2 is a (column)-vector. Then the covariance between matrix 2 and each of the columns in matrix 1 is returned. Parameters: X  matrix 1 Y  matrix 2 Returns: vector where entry i is the covariance between Definition at line 377 of file linalg.cpp. { assert(X.row()==Y.row() && (X.column()==Y.column() || Y.column()==1)); safevector <double> mx = X.mean(); safevector <double> my = Y.mean(); matrix cv(X.column()); // If Y is a column-vector we calculate [cov(X_1,Y),...,cov(X_n,Y)]. if (Y.column()==1) { for (int s=0; s<X.column(); s++) { double sum=0; for (int i=0; i<X.row(); i++) { sum += (X.get(i,s)-mx[s])*(Y.get(i)-my[0]); // std::cerr << "sum+=" << sum << std::endl; } cv.set(sum/(double)(X.row()-1),s); } return cv; } // Else we calculate [cov(X_1,Y_1),....,cov(X_n,Y_n)]. for (int s=0; s<X.column(); s++) { double sum=0; for (int i=0; i<X.row(); i++) { sum += (X.get(i,s)-mx[s])*(Y.get(i,s)-my[s]); } cv.set(sum/(double)(X.row()-1),s); } return cv; }

---