Statistics/interface/AutocorrelationAnalyzer.h

0001 #ifndef Statistics_AutocorrelationAnalyzer_h
0002 #define Statistics_AutocorrelationAnalyzer_h
0003
0004 #include "CLHEP/Matrix/Vector.h"
0005 #include "CLHEP/Matrix/SymMatrix.h"
0006 #include "CLHEP/Matrix/Matrix.h"
0007 #include <iosfwd>
0008
0009 /** This class accepts objects which support the [] operator,
0010  *  such as a digi or a vector,
0011  *  and calculates the correlation matrix between the components
0012  *  \Author Rick Wilkinson, Fedor Ratnikov
0013  */
0014
0015 class AutocorrelationAnalyzer {
0016 public:
0017   explicit AutocorrelationAnalyzer(int size);
0018
0019   /// indexing starts from 0
0020   double mean(int i);
0021   double covariance(int i, int j);
0022   double correlation(int i, int j);
0023
0024   template <class T>
0025   void analyze(const T& t) {
0026     for (int ii = 0; ii < theSize; ii++) {
0027       theMeans[ii] += t[ii];
0028       for (int ij = ii; ij < theSize; ij++) {
0029         theCovariances[ii][ij] += t[ii] * t[ij];
0030       }
0031     }
0032     ++theNTotal;
0033   }
0034
0035   friend std::ostream& operator<<(std::ostream& os, AutocorrelationAnalyzer& aa);
0036
0037 private:
0038   void calculate();
0039
0040   int theSize;
0041   int theNTotal;
0042   CLHEP::HepVector theMeans;
0043   CLHEP::HepSymMatrix theCovariances;
0044   CLHEP::HepSymMatrix theCorrelations;
0045   bool calculated_;
0046 };
0047
0048 #endif