Re: [boost] seeking endorsement for histogram library

Subject: Re: [boost] seeking endorsement for histogram library
From: Hans Dembinski (hans.dembinski_at_[hidden])
Date: 2017-11-15 14:37:15

Dear Fabian,

I am CCing boost, because maybe some others want to read this as well and/or correct me.

> On 15. Nov 2017, at 14:21, Fabian Bösch <boeschf_at_[hidden]> wrote:
> 
> Thanks for clarifying. While it is true that Boost.Accumulators does
> this, it is for the uni-variate case only, afaik. Please correct me, if
> I'm wrong.

I believe you can compute a multi-dimensional mean, if you feed an appropriate Boost.Accumulator with std::valarrays. Maybe there is an easier way.

> Now you have multi-variate histograms for which one would probably also
> like to know the Covariance (rank-2 tensor), for example. Maybe this is
> out of scope but a general solution for this would be nice. But perhaps
> this would rather be addressed in another generalized accumulator
> library. What do you think?

I think you are right. You can compute the covariance of two variables with Boost.Accumulators:
http://www.boost.org/doc/libs/1_65_0/doc/html/accumulators/user_s_guide.html#accumulators.user_s_guide.the_statistical_accumulators_library.covariance

but it does not give you a full matrix for N covariates. Maybe you could contact the maintainer of Accumulators, Eric Niebler. It is a reasonable request that would fit better into Accumulators than in Histogram.

Best regards,
Hans