Calculating Covariance Matrix

Functions
MatrixRectangular	Model::evalCovMatrix (Db *db1, Db *db2=nullptr, int ivar0=-1, int jvar0=-1, const VectorInt &nbgh1=VectorInt(), const VectorInt &nbgh2=VectorInt(), const CovCalcMode *mode=nullptr)
MatrixSquareSymmetric	Model::evalCovMatrixSymmetric (Db *db1, int ivar0=-1, const VectorInt &nbgh1=VectorInt(), const CovCalcMode *mode=nullptr)
MatrixSparse *	Model::evalCovMatrixSparse (Db *db1, Db *db2=nullptr, int ivar0=-1, int jvar0=-1, const VectorInt &nbgh1=VectorInt(), const VectorInt &nbgh2=VectorInt(), const CovCalcMode *mode=nullptr, double eps=EPSILON3)
VectorDouble	Model::evalCovMatrixV (Db *db1, Db *db2=nullptr, int ivar0=-1, int jvar0=-1, const VectorInt &nbgh1=VectorInt(), const VectorInt &nbgh2=VectorInt(), const CovCalcMode *mode=nullptr)
MatrixRectangular	Model::evalCovMatrixOptim (const Db *db1, const Db *db2=nullptr, int ivar0=-1, int jvar0=-1, const VectorInt &nbgh1=VectorInt(), const VectorInt &nbgh2=VectorInt(), const CovCalcMode *mode=nullptr)
MatrixSquareSymmetric	Model::evalCovMatrixSymmetricOptim (const Db *db1, int ivar0=-1, const VectorInt &nbgh1=VectorInt(), const CovCalcMode *mode=nullptr)

Detailed Description

These functions are meant to calculate the covariance Matrix between two Dbs or between a Db and itself. They take into account the presence of a possible selection They also account for heterotopy (if Z-variables are defined in the Db(s)

Parameters

db1	First Db
db2	(Optional second Db)
ivar0	Rank of the selected variable in the first Db (-1 for all variables)
jvar0	Rank of the selected variable in the second Db (-1 for all variables)
nbgh1	Vector of indices of active samples in first Db (optional)
nbgh2	Vector of indices of active samples in second Db (optional)
mode	CovCalcMode structure

Remarks

The returned matrix if dimension to nrows * ncols where

each term is the product of the number of active samples

by the number of samples where the variable is defined

Note

'dbin' and 'dbout' cannot be made 'const' as they can be updated

due to the presence of 'nostat'

Returns

A Matrix either in Dense or Sparse format

Function Documentation

MatrixRectangular Model::evalCovMatrix ( Db *  db1, Db *  db2 = nullptr, int  ivar0 = -1, int  jvar0 = -1, const VectorInt &  nbgh1 = VectorInt(), const VectorInt &  nbgh2 = VectorInt(), const CovCalcMode *  mode = nullptr  )

inline

MatrixRectangular Model::evalCovMatrixOptim ( const Db *  db1, const Db *  db2 = nullptr, int  ivar0 = -1, int  jvar0 = -1, const VectorInt &  nbgh1 = VectorInt(), const VectorInt &  nbgh2 = VectorInt(), const CovCalcMode *  mode = nullptr  )

inline

MatrixSparse* Model::evalCovMatrixSparse ( Db *  db1, Db *  db2 = nullptr, int  ivar0 = -1, int  jvar0 = -1, const VectorInt &  nbgh1 = VectorInt(), const VectorInt &  nbgh2 = VectorInt(), const CovCalcMode *  mode = nullptr, double  eps = EPSILON3  )

inline

MatrixSquareSymmetric Model::evalCovMatrixSymmetric ( Db *  db1, int  ivar0 = -1, const VectorInt &  nbgh1 = VectorInt(), const CovCalcMode *  mode = nullptr  )

inline

MatrixSquareSymmetric Model::evalCovMatrixSymmetricOptim ( const Db *  db1, int  ivar0 = -1, const VectorInt &  nbgh1 = VectorInt(), const CovCalcMode *  mode = nullptr  )

inline

VectorDouble Model::evalCovMatrixV ( Db *  db1, Db *  db2 = nullptr, int  ivar0 = -1, int  jvar0 = -1, const VectorInt &  nbgh1 = VectorInt(), const VectorInt &  nbgh2 = VectorInt(), const CovCalcMode *  mode = nullptr  )

inline