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PerElementCovariance

Compute the per-element covariance matrix between elements of a given axis.

This node is best understood when contrasted to the average (sample) covariance matrix, which can be viewed as an average over n matrices, where each of the n matrices is the outer product of some data vector (one of n samples) and itself. This node will perform only the outer product calculation, but leaves it to the user to subsequently perform the averaging. The utility of this node lies in the ability to use other kinds of averages than the regular mean, such as, for instance, a running average (yielding a running average covariance matrix), or a robust average (yielding a robust estimate for the covariance matrix). Thus, this node is best used in combination with nodes such as MovingAverage, or ExponentialMovingAverage. When applied to a tensor, this node will replicate the axis of choice (so it occurs twice in the output data), and it will treat each vector along this axis separately and replace it by a matrix that is the outer product by the vector and itself. More Info... Version 1.0.0

Ports/Properties

data

Data to process.

  • verbose name: Data
  • default value: None
  • port type: DataPort
  • value type: Packet (can be None)
  • data direction: INOUT

shrinkage

Amount of shrinkage to apply to covariance estimate. This is a regularization parameter that can be used to ensure that the resulting covariance matrices (or their averages) are full-rank matrices (i.e., non-degenerate / non-singular).

  • verbose name: Shrinkage Regularization Parameter
  • default value: 0.0
  • port type: FloatPort
  • value type: float (can be None)

axis

Axis between whose elements the covariance shall be computed. The resulting matrix will quantify to what extent elements along the given axis covary with other elements at other positions along the axis.

  • verbose name: Calculate Between Elements Of Axis
  • default value: space
  • port type: ComboPort
  • value type: str (can be None)

set_breakpoint

Set a breakpoint on this node. If this is enabled, your debugger (if one is attached) will trigger a breakpoint.

  • verbose name: Set Breakpoint (Debug Only)
  • default value: False
  • port type: BoolPort
  • value type: bool (can be None)

metadata

User-definable meta-data associated with the node. Usually reserved for technical purposes.

  • verbose name: Metadata
  • default value: {}
  • port type: DictPort
  • value type: dict (can be None)