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StatArray: correlation matrix calculation

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Antonin Portelli 2015-05-13 17:35:10 +01:00
parent b7a5dd51de
commit a9bb53bc1b
1 changed files with 14 additions and 0 deletions
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14
lib/StatArray.hpp
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@ -59,6 +59,7 @@ public:
const Index n = -1) const; const Index n = -1) const;
T variance(const Index pos = 0, const Index n = -1) const; T variance(const Index pos = 0, const Index n = -1) const;
T varianceMatrix(const Index pos = 0, const Index n = -1) const; T varianceMatrix(const Index pos = 0, const Index n = -1) const;
T correlationMatrix(const Index pos = 0, const Index n = -1) const;
public: public:
static const Index offset = os; static const Index offset = os;
}; };
@ -218,6 +219,19 @@ T StatArray<T, os>::varianceMatrix(const Index pos, const Index n) const
return covarianceMatrix(*this, pos, n); return covarianceMatrix(*this, pos, n);
} }
template <typename T, Index os>
T StatArray<T, os>::correlationMatrix(const Index pos, const Index n) const
{
T res = varianceMatrix(pos, n);
T invDiag(res.rows(), 1);
invDiag = res.diagonal();
invDiag = invDiag.cwiseInverse().cwiseSqrt();
res = (invDiag*invDiag.transpose()).cwiseProduct(res);
return res;
}
// reduction operations //////////////////////////////////////////////////////// // reduction operations ////////////////////////////////////////////////////////
template <typename T> template <typename T>
inline T ReducOp::sum(const T &a, const T &b) inline T ReducOp::sum(const T &a, const T &b)