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Posted to dev@commons.apache.org by Patrick Meyer <me...@gmail.com> on 2010/12/06 15:14:03 UTC

[math] Storeless covariance

There are now accurate algorithms for an incremental, storeless covariance
that are extentions of West's algorithm for storeless variance. I submitted
the algorithm and technical paper on its derivation in JIRA,
https://issues.apache.org/jira/browse/MATH-449. It would be nice to have
this added to org.apache.commons.math.covariance.

Thanks,
Patrick

Re: [math] Storeless covariance

Posted by Phil Steitz <ph...@gmail.com>.

Patrick,

Thanks for contributing this.  Looks useful and IMO a good addition to
[math].  It would speed things up a bit if you added javadoc and a test
class.

Thanks again for your interest and contribution.

Phil

On Mon, Dec 6, 2010 at 9:14 AM, Patrick Meyer <me...@gmail.com> wrote:

> There are now accurate algorithms for an incremental, storeless covariance
> that are extentions of West's algorithm for storeless variance. I submitted
> the algorithm and technical paper on its derivation in JIRA,
> https://issues.apache.org/jira/browse/MATH-449. It would be nice to have
> this added to org.apache.commons.math.covariance.
>
> Thanks,
> Patrick
>