GClasses::GRunningCovariance Class Reference

Detailed Description

Computes a running covariance matrix about the origin.

#include <GGaussianProcess.h>

Public Member Functions
	GRunningCovariance (size_t dims)
	Prepares to compute a dims x dims covariance matrix. All attributes are assumed to be continuous. More...
	~GRunningCovariance ()
void	add (const GVec &vec)
	Adds a vector to the covariance. (Remember that covariance is computed about the origin, not the centroid. If pVec comes from a distribution with a non-zero mean, then you may need to subtract the mean before calling this method.) It is okay for some elements of pVec to be UNKNOWN_REAL_VALUE. More...
void	decay (double gamma)
	Multiplies relevant internal counts and sums by gamma. (This is used for computing "moving covariance" instead of "running covariance".) More...
double	element (size_t row, size_t col)
	Returns the current specified element of the covariance matrix. Returns UNKNOWN_REAL_VALUE if one or fewer relevant samples was added. More...

Static Public Member Functions
static void	test ()

Protected Attributes
GMatrix	m_counts
GMatrix	m_sums

Constructor & Destructor Documentation

GClasses::GRunningCovariance::GRunningCovariance

(

size_t

dims

)

Prepares to compute a dims x dims covariance matrix. All attributes are assumed to be continuous.

GClasses::GRunningCovariance::~GRunningCovariance

(

)

Member Function Documentation

void GClasses::GRunningCovariance::add

(

const GVec &

vec

)

Adds a vector to the covariance. (Remember that covariance is computed about the origin, not the centroid. If pVec comes from a distribution with a non-zero mean, then you may need to subtract the mean before calling this method.) It is okay for some elements of pVec to be UNKNOWN_REAL_VALUE.

void GClasses::GRunningCovariance::decay

(

double

gamma

)

Multiplies relevant internal counts and sums by gamma. (This is used for computing "moving covariance" instead of "running covariance".)

double GClasses::GRunningCovariance::element	(	size_t	row,
		size_t	col
	)

Returns the current specified element of the covariance matrix. Returns UNKNOWN_REAL_VALUE if one or fewer relevant samples was added.

static void GClasses::GRunningCovariance::test ( )

static

Member Data Documentation

GMatrix GClasses::GRunningCovariance::m_counts

protected

GMatrix GClasses::GRunningCovariance::m_sums

protected