Module covariance

CovarianceSample: covariance sample aggregations.

Structs

CovarianceAccumulator

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.

CovariancePopulation

CovarianceSample

Functions

covar_pop

Computes the population covariance.

covar_pop_udaf

AggregateFunction that returns a AggregateUDF for CovariancePopulation

covar_samp

Computes the sample covariance.

covar_samp_udaf

AggregateFunction that returns a AggregateUDF for CovarianceSample