Struct CovarianceAccumulator

pub struct CovarianceAccumulator { /* private fields */ }

An accumulator to compute covariance The algorithm used is an online implementation and numerically stable. It is derived from the following paper for calculating variance: Welford, B. P. (1962). “Note on a method for calculating corrected sums of squares and products”. Technometrics. 4 (3): 419–420. doi:10.2307/1266577. JSTOR 1266577.

The algorithm has been analyzed here: Ling, Robert F. (1974). “Comparison of Several Algorithms for Computing Sample Means and Variances”. Journal of the American Statistical Association. 69 (348): 859–866. doi:10.2307/2286154. JSTOR 2286154.

Though it is not covered in the original paper but is based on the same idea, as a result the algorithm is online, parallelizable and numerically stable.

Implementations

impl CovarianceAccumulator

pub fn try_new(s_type: StatsType) -> Result<Self>

Creates a new CovarianceAccumulator

pub fn get_count(&self) -> u64

pub fn get_mean1(&self) -> f64

pub fn get_mean2(&self) -> f64

pub fn get_algo_const(&self) -> f64

Trait Implementations

impl Accumulator for CovarianceAccumulator

fn state(&mut self) -> Result<Vec<ScalarValue>>

Returns the intermediate state of the accumulator, consuming the intermediate state.

fn update_batch(&mut self, values: &[ArrayRef]) -> Result<()>

Updates the accumulator’s state from its input.

fn retract_batch(&mut self, values: &[ArrayRef]) -> Result<()>

Retracts (removed) an update (caused by the given inputs) to accumulator’s state.

fn merge_batch(&mut self, states: &[ArrayRef]) -> Result<()>

Updates the accumulator’s state from an Array containing one or more intermediate values.

fn evaluate(&mut self) -> Result<ScalarValue>

Returns the final aggregate value, consuming the internal state.

fn size(&self) -> usize

Returns the allocated size required for this accumulator, in bytes, including Self.

fn supports_retract_batch(&self) -> bool

Does the accumulator support incrementally updating its value by removing values.

impl Debug for CovarianceAccumulator

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.