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object StatVector

The StatVector companion object extends statistics vector operations to matrices.

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  1. def center(x: MatriD, mu_x: VectoD): MatriD

    Center the input matrix 'x' to zero mean, column-wise, by subtracting the mean.

    Center the input matrix 'x' to zero mean, column-wise, by subtracting the mean.

    x

    the input matrix to center

    mu_x

    the vector of column means of matrix x

  2. def corr(x: MatrixD): MatrixD

    Return the correlation matrix for the columns of matrix 'x'.

    Return the correlation matrix for the columns of matrix 'x'. Note: sample vs. population results in essentailly the same values.

    x

    the matrix whose column-column correlations are sought

  3. def corrMat(y: VectorD): MatrixD

    Return the first-order auto-regressive correlation matrix for vector (e.g., time series) 'y'.

    Return the first-order auto-regressive correlation matrix for vector (e.g., time series) 'y'.

    y

    the vector whose auto-regressive correlation matrix is sought

    See also

    halweb.uc3m.es/esp/Personal/personas/durban/esp/web/notes/gls.pdf

  4. def cos(x: MatrixD): MatrixD

    Return the cosine similarity matrix for the columns of matrix 'x'.

    Return the cosine similarity matrix for the columns of matrix 'x'.

    x

    the matrix whose column-column cosines are sought

    See also

    stats.stackexchange.com/questions/97051/building-the-connection-between-cosine-similarity-and-correlation-in-r

  5. def cov(x: MatrixD): MatrixD

    Return the sample covariance matrix for the columns of matrix 'x'.

    Return the sample covariance matrix for the columns of matrix 'x'.

    x

    the matrix whose column covariances are sought

  6. def covMat(y: VectorD): MatrixD

    Return the first-order auto-regressive covariance matrix for vector (e.g., time series) 'y'.

    Return the first-order auto-regressive covariance matrix for vector (e.g., time series) 'y'.

    y

    the vector whose auto-regressive covariance matrix is sought

    See also

    halweb.uc3m.es/esp/Personal/personas/durban/esp/web/notes/gls.pdf

  7. def pcov(x: MatrixD): MatrixD

    Return the population covariance matrix for the columns of matrix 'x'.

    Return the population covariance matrix for the columns of matrix 'x'.

    x

    the matrix whose column columns covariances are sought