oops, stats.h was missing

eo/contrib/mathsym/regression/stats.h

@@ -0,0 +1,119 @@
+/*	    
+ *             Copyright (C) 2005 Maarten Keijzer
+ *
+ *          This program is free software; you can redistribute it and/or modify
+ *          it under the terms of version 2 of the GNU General Public License as 
+ *          published by the Free Software Foundation. 
+ *
+ *          This program is distributed in the hope that it will be useful,
+ *          but WITHOUT ANY WARRANTY; without even the implied warranty of
+ *          MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+ *          GNU General Public License for more details.
+ *
+ *          You should have received a copy of the GNU General Public License
+ *          along with this program; if not, write to the Free Software
+ *          Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA  02111-1307  USA
+ */
+
+#include <vector>
+
+class Mean {
+
+    double n;
+    double mean;
+
+    public:
+    Mean() : n(0), mean(0) {}
+    
+    void update(double v) {
+	n++;
+	double d = v - mean;
+	mean += 1/n * d;
+    }
+
+    double get_mean() const { return mean; }
+};
+
+class Var {
+    double n;
+    double mean;
+    double sumvar;
+
+    public:
+    Var() : n(0), mean(0), sumvar(0) {}
+
+    void update(double v) {
+	n++;
+	double d = v - mean;
+	mean += 1/n * d;
+	sumvar += (n-1)/n * d * d;
+    }
+
+    double get_mean() const { return mean;           }
+    double get_var()  const { return sumvar / (n-1); }
+    double get_std()  const { return sqrt(get_var());  }
+};
+
+/** Single covariance between two variates */
+class Cov {
+    double n;
+    double meana;
+    double meanb;
+    double sumcov;
+    
+    public:
+    Cov() : n(0), meana(0), meanb(0), sumcov(0) {}
+
+    void update(double a, double b) {
+	++n;
+	double da = a - meana;
+	double db = b - meanb;
+
+	meana += 1/n * da;
+	meanb += 1/n * db;
+
+	sumcov += (n-1)/n * da * db;
+    }
+    
+    double get_meana() const { return meana; }
+    double get_meanb() const { return meanb; }
+    double get_cov()   const { return sumcov / (n-1); }
+};
+
+class CovMatrix {
+    double n;
+    std::vector<double> mean;
+    std::vector< std::vector<double> > sumcov;
+
+    public:
+    CovMatrix(unsigned dim) : n(0), mean(dim), sumcov(dim , std::vector<double>(dim)) {}
+
+    void update(const std::vector<double>& v) {
+	n++;
+	
+	for (unsigned i = 0; i < v.size(); ++i) {
+	    double d = v[i] - mean[i];
+	    mean[i] += 1/n * d;
+
+	    sumcov[i][i] += (n-1)/n * d * d;
+
+	    for (unsigned j = i; j < v.size(); ++j) {
+		double e = v[j] - mean[j]; // mean[j] is not updated yet
+		
+		double upd = (n-1)/n * d * e;
+
+		sumcov[i][j] += upd;
+		sumcov[j][i] += upd;
+		
+	    }
+	}
+	
+    }
+    
+    double get_mean(int i) const { return mean[i]; }
+    double get_var(int i ) const { return sumcov[i][i] / (n-1); }
+    double get_std(int i) const  { return sqrt(get_var(i)); }
+    double get_cov(int i, int j) const { return sumcov[i][j] / (n-1); }
+    
+};
+