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AutocorrelationAnalyzer Class Reference

This class accepts objects which support the [] operator, such as a digi or a vector, and calculates the correlation matrix between the components Rick Wilkinson, Fedor Ratnikov. More...

#include <CommonTools/Statistics/interface/AutocorrelationAnalyzer.h>

List of all members.

Public Member Functions
template<class T>
void	analyze (const T &t)
	AutocorrelationAnalyzer (int size)
double	correlation (int i, int j)
double	covariance (int i, int j)
double	mean (int i)
	indexing starts from 0
Private Member Functions
void	calculate ()
Private Attributes
bool	calculated_
HepSymMatrix	theCorrelations
HepSymMatrix	theCovariances
HepVector	theMeans
int	theNTotal
int	theSize
Friends
std::ostream &	operator<< (std::ostream &os, AutocorrelationAnalyzer &aa)

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Detailed Description

This class accepts objects which support the [] operator, such as a digi or a vector, and calculates the correlation matrix between the components Rick Wilkinson, Fedor Ratnikov.

Definition at line 15 of file AutocorrelationAnalyzer.h.

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Constructor & Destructor Documentation

AutocorrelationAnalyzer::AutocorrelationAnalyzer

(

int

size

)

[explicit]

Definition at line 5 of file AutocorrelationAnalyzer.cc.

: theSize(size),
  theNTotal(0),
  theMeans(size, 0),
  theCovariances(theSize, 0),
  theCorrelations(theSize, 0),
  calculated_(false)
{
}

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Member Function Documentation

template<class T>

void AutocorrelationAnalyzer::analyze

(

const T &

t

)

[inline]

Definition at line 26 of file AutocorrelationAnalyzer.h.

References theCovariances, theMeans, theNTotal, and theSize.

  {
    for (int ii = 0; ii < theSize; ii++) {
      theMeans[ii] += t[ii];
      for (int ij = ii; ij < theSize; ij++) {
        theCovariances[ii][ij] += t[ii] * t[ij];
      }
    }
    ++theNTotal;
  }

void AutocorrelationAnalyzer::calculate

(

)

[private]

Definition at line 41 of file AutocorrelationAnalyzer.cc.

References calculated_, k, kk, funct::sqrt(), theCorrelations, theCovariances, theMeans, theNTotal, and theSize.

Referenced by correlation(), covariance(), mean(), and operator<<().

{
  for(int k = 0; k < theSize; ++k)
  {
    theMeans[k] /= theNTotal;
    for (int kk = k; kk < theSize; kk++) 
    {
      theCovariances[k][kk] /= theNTotal;
    }
  }

  for (int k = 0; k < theSize; k++) 
  {
    for (int kk = k; kk < theSize; kk++)
    {
      theCorrelations[k][kk] = theCovariances[k][kk]
        / sqrt (theCovariances[k][k]*theCovariances[kk][kk]);
    }
  }

  calculated_ = true;
}

double AutocorrelationAnalyzer::correlation	(	int	i,
		int	j
	)

Definition at line 32 of file AutocorrelationAnalyzer.cc.

References calculate(), calculated_, theCorrelations, and theSize.

{
  if(!calculated_) calculate();
  assert(i<=theSize && j<=theSize);
  return theCorrelations(i-1,j-1);
}

double AutocorrelationAnalyzer::covariance	(	int	i,
		int	j
	)

Definition at line 24 of file AutocorrelationAnalyzer.cc.

References calculate(), calculated_, theCovariances, and theSize.

{
  if(!calculated_) calculate();
  assert(i<=theSize && j<=theSize);
  return theCovariances(i-1,j-1);
}

double AutocorrelationAnalyzer::mean

(

int

i

)

indexing starts from 0

Definition at line 16 of file AutocorrelationAnalyzer.cc.

References calculate(), calculated_, theMeans, and theSize.

{
  if(!calculated_) calculate();
  assert(i < theSize);
  return theMeans[i];
}

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Friends And Related Function Documentation

std::ostream& operator<<	(	std::ostream &	os,
		AutocorrelationAnalyzer &	aa
	)			[friend]

Definition at line 65 of file AutocorrelationAnalyzer.cc.

{
  aa.calculate();
  os << "Means: " << std::endl << aa.theMeans << std::endl;
  os << "Covariances: " << std::endl << aa.theCovariances << std::endl;
  os << "Correlations: " << std::endl << aa.theCorrelations << std::endl;
  return os;
}

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Member Data Documentation

bool AutocorrelationAnalyzer::calculated_ [private]

Definition at line 47 of file AutocorrelationAnalyzer.h.

Referenced by calculate(), correlation(), covariance(), and mean().

HepSymMatrix AutocorrelationAnalyzer::theCorrelations [private]

Definition at line 46 of file AutocorrelationAnalyzer.h.

Referenced by calculate(), correlation(), and operator<<().

HepSymMatrix AutocorrelationAnalyzer::theCovariances [private]

Definition at line 45 of file AutocorrelationAnalyzer.h.

Referenced by analyze(), calculate(), covariance(), and operator<<().

HepVector AutocorrelationAnalyzer::theMeans [private]

Definition at line 44 of file AutocorrelationAnalyzer.h.

Referenced by analyze(), calculate(), mean(), and operator<<().

int AutocorrelationAnalyzer::theNTotal [private]

Definition at line 43 of file AutocorrelationAnalyzer.h.

Referenced by analyze(), and calculate().

int AutocorrelationAnalyzer::theSize [private]

Definition at line 42 of file AutocorrelationAnalyzer.h.

Referenced by analyze(), calculate(), correlation(), covariance(), and mean().

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The documentation for this class was generated from the following files:

• CommonTools/Statistics/interface/AutocorrelationAnalyzer.h
• CommonTools/Statistics/src/AutocorrelationAnalyzer.cc

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