/// <summary>
/// Calculates the correlation between components
/// </summary>
/// <returns>Matrix of Correlation values</returns>
public double[,] WCorrelation(int[] group = null)
{
int[] grp = group;
if (group != null && group.Length < 2)
{
throw new Exception("Group must contain at least two elements.");
}
if (grp == null)
{
grp = Enumerable.Range(1, EM.Count).ToArray();
}
//prepare for forecasting by calculation necessary values
var wi = calculateWeights();
var count = grp.Length;
var contrib = new List <double[]>();
//
foreach (var g in grp)
{
var c = diagonalAveraging(EM[g]);
contrib.Add(c);
}
//
var Fnorms = new double[count];
for (int i = 0; i < count; i++)
{
Fnorms[i] = wi.Multiply(contrib[i].Multiply(contrib[i])).Sum();
}
Fnorms = Fnorms.Pow(-0.5);
//
var wCorr = MatrixEx.Identity(count, count);
for (int i = 0; i < count; i++)
{
for (int j = i + 1; j < count; j++)
{
wCorr[i, j] = Math.Round(Math.Abs(wi.Multiply(contrib[i].Multiply(contrib[j])).Sum()) * Fnorms[i] * Fnorms[j], 4);
wCorr[j, i] = wCorr[i, j];
}
}
return(wCorr);
}