covarSamp
Calculates the sample covariance:.
Calculates the sample covariance:
$$ \frac{\Sigma{(x - \bar{x})(y - \bar{y})}}{n - 1} $$
:::note
This function uses a numerically unstable algorithm. If you need numerical stability in calculations, use the covarSampStable function.
It works slower but provides a lower computational error.
:::
Syntax
covarSamp(x, y)Arguments
Returned value
Returns the sample covariance between x and y. For n <= 1, nan is returned. Float64
Examples
Basic sample covariance calculation
DROP TABLE IF EXISTS series;
CREATE TABLE series(i UInt32, x_value Float64, y_value Float64) ENGINE = Memory;
INSERT INTO series(i, x_value, y_value) VALUES (1, 5.6,-4.4),(2, -9.6,3),(3, -1.3,-4),(4, 5.3,9.7),(5, 4.4,0.037),(6, -8.6,-7.8),(7, 5.1,9.3),(8, 7.9,-3.6),(9, -8.2,0.62),(10, -3,7.3);
SELECT covarSamp(x_value, y_value)
FROM series┌─covarSamp(x_value, y_value)─┐
│ 7.206275555555556 │
└─────────────────────────────┘Single value returns NaN
SELECT covarSamp(x_value, y_value)
FROM series LIMIT 1┌─covarSamp(x_value, y_value)─┐
│ nan │
└─────────────────────────────┘Introduced in version 1.1.