/** * @license Apache-2.0 * * Copyright (c) 2018 The Stdlib Authors. * * Licensed under the Apache License, Version 2.0 (the "License"); * you may not use this file except in compliance with the License. * You may obtain a copy of the License at * * http://www.apache.org/licenses/LICENSE-2.0 * * Unless required by applicable law or agreed to in writing, software * distributed under the License is distributed on an "AS IS" BASIS, * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. * See the License for the specific language governing permissions and * limitations under the License. */ 'use strict'; // MODULES // var isNumber = require( '@stdlib/assert/is-number' ).isPrimitive; var isnan = require( '@stdlib/math/base/assert/is-nan' ); // MAIN // /** * Returns an accumulator function which incrementally computes an unbiased sample covariance. * * ## Method * * - We begin by defining the co-moment \\(C_n\\) * * ```tex * C_n = \sum_{i=1}^{N} ( x_i - \bar{x}_n ) ( y_i - \bar{y}_n ) * ``` * * where \\(\bar{x}_n\\) and \\(\bar{y}_n\\) are the sample means for \\(x\\) and \\(y\\), respectively. * * - Based on Welford's method, we know the update formulas for the sample means are given by * * ```tex * \bar{x}_n = \bar{x}_{n-1} + \frac{x_n - \bar{x}_{n-1}}{n} * ``` * * and * * ```tex * \bar{y}_n = \bar{y}_{n-1} + \frac{y_n - \bar{y}_{n-1}}{n} * ``` * * - Substituting into the equation for \\(C_n\\) and rearranging terms * * ```tex * C_n = C_{n-1} + (x_n - \bar{x}_n) (y_n - \bar{y}_{n-1}) * ``` * * where the apparent asymmetry arises from * * ```tex * x_n - \bar{x}_n = \frac{n-1}{n} (x_n - \bar{x}_{n-1}) * ``` * * and, hence, the update term can be equivalently expressed * * ```tex * \frac{n-1}{n} (x_n - \bar{x}_{n-1}) (y_n - \bar{y}_{n-1}) * ``` * * - The covariance can be defined * * ```tex * \begin{align*} * \operatorname{cov}_n(x,y) &= \frac{C_n}{n} \\ * &= \frac{C_{n-1} + (x_n - \bar{x}_n) (y_n - \bar{y}_{n-1})}{n} \\ * &= \frac{(n-1)\operatorname{cov}_{n-1}(x,y) + (x_n - \bar{x}_n) (y_n - \bar{y}_{n-1})}{n} * \end{align*} * ``` * * - Applying Bessel's correction, we arrive at an update formula for calculating an unbiased sample covariance * * ```tex * \begin{align*} * \operatorname{cov}_n(x,y) &= \frac{n}{n-1}\cdot\frac{(n-1)\operatorname{cov}_{n-1}(x,y) + (x_n - \bar{x}_n) (y_n - \bar{y}_{n-1})}{n} \\ * &= \operatorname{cov}_{n-1}(x,y) + \frac{(x_n - \bar{x}_n) (y_n - \bar{y}_{n-1})}{n-1} \\ * &= \frac{C_{n-1} + (x_n - \bar{x}_n) (y_n - \bar{y}_{n-1})}{n-1} * &= \frac{C_{n-1} + (x_n - \bar{x}_{n-1}) (y_n - \bar{y}_n)}{n-1} * \end{align*} * ``` * * @param {number} [meanx] - mean value * @param {number} [meany] - mean value * @throws {TypeError} first argument must be a number primitive * @throws {TypeError} second argument must be a number primitive * @returns {Function} accumulator function * * @example * var accumulator = incrcovariance(); * * var v = accumulator(); * // returns null * * v = accumulator( 2.0, 1.0 ); * // returns 0.0 * * v = accumulator( -5.0, 3.14 ); * // returns ~-7.49 * * v = accumulator(); * // returns ~-7.49 * * @example * var accumulator = incrcovariance( 2.0, -3.0 ); */ function incrcovariance( meanx, meany ) { var dx; var mx; var my; var C; var N; C = 0.0; N = 0; if ( arguments.length ) { if ( !isNumber( meanx ) ) { throw new TypeError( 'invalid argument. First argument must be a number primitive. Value: `' + meanx + '`.' ); } if ( !isNumber( meany ) ) { throw new TypeError( 'invalid argument. Second argument must be a number primitive. Value: `' + meany + '`.' ); } mx = meanx; my = meany; return accumulator2; } mx = 0.0; my = 0.0; return accumulator1; /** * If provided input values, the accumulator function returns an updated unbiased sample covariance. If not provided input values, the accumulator function returns the current unbiased sample covariance. * * @private * @param {number} [x] - new value * @param {number} [y] - new value * @returns {(number|null)} unbiased sample covariance or null */ function accumulator1( x, y ) { if ( arguments.length === 0 ) { if ( N === 0 ) { return null; } if ( N === 1 ) { return ( isnan( C ) ) ? NaN : 0.0; } return C / (N-1); } N += 1; dx = x - mx; mx += dx / N; my += ( y-my ) / N; C += dx * ( y-my ); // Note: repeated `y-my` is intentional, as `my` is updated when used here if ( N < 2 ) { return ( isnan( C ) ) ? NaN : 0.0; } return C / (N-1); } /** * If provided input values, the accumulator function returns an updated unbiased sample covariance. If not provided input values, the accumulator function returns the current unbiased sample covariance. * * @private * @param {number} [x] - new value * @param {number} [y] - new value * @returns {(number|null)} unbiased sample covariance or null */ function accumulator2( x, y ) { if ( arguments.length === 0 ) { if ( N === 0 ) { return null; } return C / N; } N += 1; C += ( x-mx ) * ( y-my ); return C / N; } } // EXPORTS // module.exports = incrcovariance;