org.akutan.utilities
Class Covariance

java.lang.Object
  org.akutan.utilities.Covariance

public class Covariance
extends java.lang.Object

Various functions to computes covariance matrices

Since:

23 january 2009

Constructor Summary

Covariance()

Method Summary

static double	covariance(cern.colt.list.DoubleArrayList l1, cern.colt.list.DoubleArrayList l2) Compute the sample covariance of the series in the two lists
static double	exponentialCovariance(double factor, cern.colt.list.DoubleArrayList l1, cern.colt.list.DoubleArrayList l2) Compute the sample exponentially weighted covariance of the series in the two lists

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

Covariance

public Covariance()

Method Detail

covariance

public static double covariance(cern.colt.list.DoubleArrayList l1,
                                cern.colt.list.DoubleArrayList l2)

Compute the sample covariance of the series in the two lists

Parameters:

l1 - List of time series points

l2 - List of time series points

Returns:

covariance between the two lists

exponentialCovariance

public static double exponentialCovariance(double factor,
                                           cern.colt.list.DoubleArrayList l1,
                                           cern.colt.list.DoubleArrayList l2)

Compute the sample exponentially weighted covariance of the series in the two lists

Parameters:

factor - Exponential weighting factor

l1 - List of time series points

l2 - List of time series points

Returns:

exponentially weighted covariance between the two lists