STRUCT TEMPLA(3)

NAME
boost::accumulators::impl::covariance_impl - Covariance Estimator.

SYNOPSIS

// In header: <boost/accumulators/statistics/covariance.hpp>
template<typename Sample, typename VariateType, typename VariateTag>
struct covariance_impl {
  // types
  typedef numeric::functional::average< Sample, std::size_t >::result_type             sample_type;
  typedef numeric::functional::average< VariateType, std::size_t >::result_type        variate_type;
  typedef numeric::functional::outer_product< sample_type, variate_type >::result_type result_type;
  // construct/copy/destruct
  template<typename Args> covariance_impl(Args const &);
  // public member functions
  template<typename Args> void operator()(Args const &);
  result_type result(dont_care) const;
};

DESCRIPTION

An iterative Monte Carlo estimator for the covariance [1][IMAGE][2] [$thrm{Cov}(X,X')$], where [3][IMAGE][4] [$X$] is a sample and [5][IMAGE][6] [$X'$] is a variate, is given by:

Equation 1.1.  [7].sp .RS 4 [IMAGE][8] \[ \hat{c}_n = \frac{n-1}{n} \hat{c}_{n-1} + \frac{1}{n-1}(X_n - \hat{\mu}_n)(X_n' - \hat{\mu}_n'),\quad n\ge2,\quad\hat{c}_1 = 0, \] .RE

[9][IMAGE][10] [$ and [11][IMAGE][12] [$ being the means of the samples and variates.

  covariance_impl public construct/copy/destruct

    1.

    template<typename Args> covariance_impl(Args const & args);

  covariance_impl public member functions

    1.

    template<typename Args> void operator()(Args const & args);

    2.

    result_type result(dont_care) const;