running_covariance

running_covariance(x, state=None)

Streaming covariance and correlation matrix.

Accumulates a running mean vector and covariance matrix over one or more chunks of multivariate data, mirroring the C# RunningCovarianceMatrix class. The accumulator state travels in the return value, so a chunked run holds no C++ state.

Parameters

Name	Type	Description	Default
x	array_like	A 2D array, observations in rows and variables in columns.	required
state	RunningCovariance	A :class:RunningCovariance from a previous call, or None (the default) to start a fresh accumulator.	None

Returns

Name	Type	Description
	RunningCovariance

Examples

>>> from corehydropy import running_covariance
>>> x = [[1, 2], [2, 4], [3, 5], [4, 4], [5, 5]]
>>> running_covariance(x).n
5.0