Covariance using EJML

Question

I have two double arrays as below

double[] x = { 2.5, 0.5, 2.2, 1.9, 3.1, 2.3, 2.0, 1.0, 1.5, 1.1 };
double[] y = { 2.4, 0.7, 2.9, 2.2, 3.0, 2.7, 1.6, 1.1, 1.6, 0.9 };

How do you find the covariance between them using efficient-java-matrix-library (EJML) library? Any code snippet most welcome. Thanks!

EJML is not a statistics library... – soandos May 20 '11 at 06:10 — soandos, May 20 '11 at 06:10

score 2 · Answer 1 · answered May 23 '11 at 19:09

Here is one way to do it with SimpleMatrix, but I haven't tested the code:

double[] x = { 2.5, 0.5, 2.2, 1.9, 3.1, 2.3, 2.0, 1.0, 1.5, 1.1 };
double[] y = { 2.4, 0.7, 2.9, 2.2, 3.0, 2.7, 1.6, 1.1, 1.6, 0.9 };

SimpleMatrix a = new SimpleMatrix(x.length,1,true,x);
SimpleMatrix b = new SimpleMatrix(x.length,1,true,x);

double meanA = a.elementSum()/x.length;
double meanB = a.elementSum()/y.length;

// X = X - mean(A)
CommonOps.add(a.getMatrix(),-meanA);
CommonOps.add(b.getMatrix(),-meanB);

// compute the covariance
double c11 = a.transpose().mult(a).get(0,0)/x.length;
double c12 = a.transpose().mult(b).get(0,0)/x.length;
double c22 = b.transpose().mult(b).get(0,0)/x.length;

SimpleMatrix covariance = new SimpleMatrix(2,2,true,c11,c12,c12,c22);

Covariance using EJML

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