There are now accurate algorithms for an incremental, storeless covariance
that are extentions of West's algorithm for storeless variance. I submitted
the algorithm and technical paper on its derivation in JIRA,
https://issues.apache.org/jira/browse/MATH-449. It would be nice to have
this added to
Patrick,
Thanks for contributing this. Looks useful and IMO a good addition to
[math]. It would speed things up a bit if you added javadoc and a test
class.
Thanks again for your interest and contribution.
Phil
On Mon, Dec 6, 2010 at 9:14 AM, Patrick Meyer meyer...@gmail.com wrote:
There
