covariance 0.1.0.6 → 0.2.0.0

raw patch · 3 files changed

+21/−6 lines, 3 filesPVP ok

version bump matches the API change (PVP)

API changes (from Hackage documentation)

- Statistics.Covariance: rescaleWith :: Vector Double -> Matrix Double -> Matrix Double

+ Statistics.Covariance: rescalePWith :: Vector Double -> Matrix Double -> Matrix Double

+ Statistics.Covariance: rescaleSWith :: Vector Double -> Matrix Double -> Matrix Double

Files

CHANGELOG.md +7/−0
covariance.cabal +1/−1
src/Statistics/Covariance.hs +13/−5

CHANGELOG.md view

@@ -5,6 +5,13 @@ ## Unreleased changes  +## 0.2.0.0++-   Rename `rescaleWith` to `rescaleSWith` to indicate the rescaling of+    covariance matrices.+-   Add `rescalePWith` to rescale precision matrices.++ ## 0.1.0.5  -   Tooling updates.

covariance.cabal view

@@ -1,6 +1,6 @@ cabal-version:      3.0 name:               covariance-version:            0.1.0.6+version:            0.2.0.0 synopsis:     Well-conditioned estimation of large-dimensional covariance matrices

src/Statistics/Covariance.hs view

@@ -29,7 +29,8 @@      -- * Helper functions     scale,-    rescaleWith,+    rescaleSWith,+    rescalePWith,   ) where @@ -89,11 +90,18 @@  -- | Convert a correlation matrix with given standard deviations to original -- scale.-rescaleWith ::+rescaleSWith ::   -- | Vector of standard deviations of length \(p\).   L.Vector Double ->-  -- | Correlation matrix of dimension \(p \times p\).+  -- | Normalized correlation matrix of dimension \(p \times p\).   L.Matrix Double ->-  -- | Covariance matrix of dimension \(p \times p\).+  -- | Covariance matrix of original scale and of dimension \(p \times p\).   L.Matrix Double-rescaleWith ss = L.mapMatrixWithIndex (\(i, j) x -> x * (ss VS.! i) * (ss VS.! j))+rescaleSWith ss = L.mapMatrixWithIndex (\(i, j) x -> x * (ss VS.! i) * (ss VS.! j))++-- | See 'rescaleSWith' but for precision matrices.+rescalePWith ::+  L.Vector Double ->+  L.Matrix Double ->+  L.Matrix Double+rescalePWith ss = rescaleSWith (VS.map recip ss)