/// <summary>
/// Estimates the unbiased population covariance from the provided samples.
/// On a dataset of size N will use an N-1 normalizer (Bessel's correction).
/// Returns NaN if data has less than two entries or if any entry is NaN.
/// </summary>
/// <param name="samples1">A subset of samples, sampled from the full population.</param>
/// <param name="samples2">A subset of samples, sampled from the full population.</param>
public static double Covariance(this IEnumerable <double> samples1, IEnumerable <double> samples2)
{
var array1 = samples1 as double[];
var array2 = samples2 as double[];
return(array1 != null && array2 != null
? ArrayStatistics.Covariance(array1, array2)
: StreamingStatistics.Covariance(samples1, samples2));
}
/// <summary>
/// Estimates the unbiased population covariance from the provided samples.
/// On a dataset of size N will use an N-1 normalizer (Bessel's correction).
/// Returns NaN if data has less than two entries or if any entry is NaN.
/// Null-entries are ignored.
/// </summary>
/// <param name="samples1">A subset of samples, sampled from the full population.</param>
/// <param name="samples2">A subset of samples, sampled from the full population.</param>
public static double Covariance(this IEnumerable <double?> samples1, IEnumerable <double?> samples2)
{
if (samples1 == null)
{
throw new ArgumentNullException("samples1");
}
if (samples2 == null)
{
throw new ArgumentNullException("samples2");
}
return(StreamingStatistics.Covariance(samples1.Where(d => d.HasValue).Select(d => d.Value), samples2.Where(d => d.HasValue).Select(d => d.Value)));
}
/// <summary>
/// Estimates the unbiased population covariance from the provided samples.
/// On a dataset of size N will use an N-1 normalizer (Bessel's correction).
/// Returns NaN if data has less than two entries or if any entry is NaN.
/// Null-entries are ignored.
/// </summary>
/// <param name="samples1">A subset of samples, sampled from the full population.</param>
/// <param name="samples2">A subset of samples, sampled from the full population.</param>
public static double Covariance(this IEnumerable <double?> samples1, IEnumerable <double?> samples2)
{
return(StreamingStatistics.Covariance(samples1.Where(d => d.HasValue).Select(d => d.Value), samples2.Where(d => d.HasValue).Select(d => d.Value)));
}
