covariance.js

import { isAnyArray } from './indexIsAnyArray.js';

import Matrix from './matrix.js';

export function covariance(xMatrix, yMatrix = xMatrix, options = {}) {
  xMatrix = new Matrix(xMatrix);
  let yIsSame = false;
  if (
    typeof yMatrix === 'object' &&
    !Matrix.isMatrix(yMatrix) &&
    !isAnyArray(yMatrix)
  ) {
    options = yMatrix;
    yMatrix = xMatrix;
    yIsSame = true;
  } else {
    yMatrix = new Matrix(yMatrix);
  }
  if (xMatrix.rows !== yMatrix.rows) {
    throw new TypeError('Both matrices must have the same number of rows');
  }
  const { center = true } = options;
  if (center) {
    xMatrix = xMatrix.center('column');
    if (!yIsSame) {
      yMatrix = yMatrix.center('column');
    }
  }
  const cov = xMatrix.transpose().mmul(yMatrix);
  for (let i = 0; i < cov.rows; i++) {
    for (let j = 0; j < cov.columns; j++) {
      cov.set(i, j, cov.get(i, j) * (1 / (xMatrix.rows - 1)));
    }
  }
  return cov;
}