public static float [,] covariance(
float [][] data)
{
data = ToolsCollection.Transpose(data);
int column_count = data.Length;
float [,] covariance_array = new float [column_count, column_count];
float [] means = new float [column_count];
for (int index_column = 0; index_column < column_count; index_column++)
{
means[index_column] = ToolsMathStatistics.Mean(data[index_column]);
}
for (int index_column = 0; index_column < column_count; index_column++)
{
covariance_array[index_column, index_column] = ToolsMathCollectionFloat
.covariance(data[index_column], data[index_column], means[index_column], means[index_column]);
}
for (int index_row = 0; index_row < column_count; index_row++)
{
for (int index_column = index_row + 1; index_column < column_count; index_column++)
{
float covariance = ToolsMathCollectionFloat
.covariance(data[index_row], data[index_column], means[index_row], means[index_column]);
covariance_array[index_row, index_column] = covariance;
covariance_array[index_column, index_row] = covariance;
}
}
return(covariance_array);
}
public IFunctionBijective <float [], float []> Generate(
IList <float []> instances)
{
float[,] array = ToolsCollection.ConvertToTable(instances);
float[,] array_transposed = ToolsCollection.Transpose(array);
float [] lower_bounds = new float [array_transposed.Length];
float [] upper_bounds = new float [array_transposed.Length];
for (int index = 0; index < array_transposed.Length; index++)
{
lower_bounds[index] = ToolsMathStatistics.QuantileSorted(array_transposed.Select1DIndex0(index), quantile);
upper_bounds[index] = ToolsMathStatistics.QuantileSorted(array_transposed.Select1DIndex0(index), 1 - quantile);
}
return(new TransformRescale(lower_bounds, upper_bounds));
}
