74 lines
1.3 KiB
Go
74 lines
1.3 KiB
Go
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// Copyright © 2016 Abcum Ltd
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//
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// Licensed under the Apache License, Version 2.0 (the "License");
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// you may not use this file except in compliance with the License.
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// You may obtain a copy of the License at
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//
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// http://www.apache.org/licenses/LICENSE-2.0
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//
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// Unless required by applicable law or agreed to in writing, software
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// distributed under the License is distributed on an "AS IS" BASIS,
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// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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// See the License for the specific language governing permissions and
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// limitations under the License.
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package math
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import "math"
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func Covariance(a, b []float64) float64 {
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var ss float64
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if len(a) == 0 {
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return math.NaN()
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}
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if len(b) == 0 {
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return math.NaN()
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}
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if len(a) != len(b) {
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return math.NaN()
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}
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l, ma, mb := Size(a), Mean(a), Mean(b)
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for i := 0; i < l; i++ {
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da := (a[i] - ma)
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db := (b[i] - mb)
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ss += (da*db - ss) / float64(i+1)
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}
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return ss * float64(l) / float64(l-1)
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}
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func PopulationCovariance(a, b []float64) float64 {
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var ss float64
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if len(a) == 0 {
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return math.NaN()
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}
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if len(b) == 0 {
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return math.NaN()
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}
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if len(a) != len(b) {
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return math.NaN()
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}
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l, ma, mb := Size(a), Mean(a), Mean(b)
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for i := 0; i < l; i++ {
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da := (a[i] - ma)
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db := (b[i] - mb)
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ss += da * db
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}
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return ss / float64(l)
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}
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