$xi) { $yi = $y[$index]; $sum += ($xi - $meanX) * ($yi - $meanY); } if ($sample) { --$n; } return $sum / $n; } /** * Calculates covariance of two dimensions, i and k in the given data. * * @throws InvalidArgumentException * @throws \Exception */ public static function fromDataset(array $data, int $i, int $k, bool $sample = true, float $meanX = null, float $meanY = null) : float { if (empty($data)) { throw InvalidArgumentException::arrayCantBeEmpty(); } $n = count($data); if ($sample && $n === 1) { throw InvalidArgumentException::arraySizeToSmall(2); } if ($i < 0 || $k < 0 || $i >= $n || $k >= $n) { throw new \Exception('Given indices i and k do not match with the dimensionality of data'); } if ($meanX === null || $meanY === null) { $x = array_column($data, $i); $y = array_column($data, $k); $meanX = Mean::arithmetic($x); $meanY = Mean::arithmetic($y); $sum = 0.0; foreach ($x as $index => $xi) { $yi = $y[$index]; $sum += ($xi - $meanX) * ($yi - $meanY); } } else { // In the case, whole dataset given along with dimension indices, i and k, // we would like to avoid getting column data with array_column and operate // over this extra copy of column data for memory efficiency purposes. // // Instead we traverse through the whole data and get what we actually need // without copying the data. This way, memory use will be reduced // with a slight cost of CPU utilization. $sum = 0.0; foreach ($data as $row) { $val = []; foreach ($row as $index => $col) { if ($index == $i) { $val[0] = $col - $meanX; } if ($index == $k) { $val[1] = $col - $meanY; } } $sum += $val[0] * $val[1]; } } if ($sample) { --$n; } return $sum / $n; } /** * Returns the covariance matrix of n-dimensional data * * @param array|null $means */ public static function covarianceMatrix(array $data, array $means = null) : array { $n = count($data[0]); if ($means === null) { $means = []; for ($i = 0; $i < $n; ++$i) { $means[] = Mean::arithmetic(array_column($data, $i)); } } $cov = []; for ($i = 0; $i < $n; ++$i) { for ($k = 0; $k < $n; ++$k) { if ($i > $k) { $cov[$i][$k] = $cov[$k][$i]; } else { $cov[$i][$k] = self::fromDataset( $data, $i, $k, true, $means[$i], $means[$k] ); } } } return $cov; } }