Mercurial > hg > octave-lyh
annotate scripts/statistics/tests/cor_test.m @ 12856:cad4cba03f19
Deprecate corrcoef, cor and replace with Matlab equivalent corr
The value calculated by Octave's corrcoef and cor are the
same as the value calculated by the Matlab function corr.
Use MathWorks naming convention for this functionality.
* corr.m: New file with functionality of corrcoef.m
* cov.m, kendall.m, spearman.m, cor_test.m: Adjust scripts to call corr()
* statistics/base/module.mk, deprecated/module.mk: Inform Automake about
deprecated functions
* NEWS: Inform users about deprecation
* stats.txi: Add corr() to documentation.
| author | Rik <octave@nomad.inbox5.com> |
|---|---|
| date | Sat, 16 Jul 2011 20:38:00 -0700 |
| parents | 139f993936af |
| children | 72c96de7a403 |
| rev | line source |
|---|---|
| 11523 | 1 ## Copyright (C) 1995-2011 Kurt Hornik |
| 3426 | 2 ## |
| 3922 | 3 ## This file is part of Octave. |
| 4 ## | |
| 5 ## Octave is free software; you can redistribute it and/or modify it | |
| 6 ## under the terms of the GNU General Public License as published by | |
| 7016 | 7 ## the Free Software Foundation; either version 3 of the License, or (at |
| 8 ## your option) any later version. | |
| 3426 | 9 ## |
| 3922 | 10 ## Octave is distributed in the hope that it will be useful, but |
| 3200 | 11 ## WITHOUT ANY WARRANTY; without even the implied warranty of |
| 12 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU | |
| 3426 | 13 ## General Public License for more details. |
| 14 ## | |
| 3200 | 15 ## You should have received a copy of the GNU General Public License |
| 7016 | 16 ## along with Octave; see the file COPYING. If not, see |
| 17 ## <http://www.gnu.org/licenses/>. | |
| 3200 | 18 |
| 3454 | 19 ## -*- texinfo -*- |
| 20 ## @deftypefn {Function File} {} cor_test (@var{x}, @var{y}, @var{alt}, @var{method}) | |
| 21 ## Test whether two samples @var{x} and @var{y} come from uncorrelated | |
| 22 ## populations. | |
| 3200 | 23 ## |
| 3454 | 24 ## The optional argument string @var{alt} describes the alternative |
| 25 ## hypothesis, and can be @code{"!="} or @code{"<>"} (non-zero), | |
| 26 ## @code{">"} (greater than 0), or @code{"<"} (less than 0). The | |
| 27 ## default is the two-sided case. | |
| 3200 | 28 ## |
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29 ## The optional argument string @var{method} specifies which |
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30 ## correlation coefficient to use for testing. If @var{method} is |
| 3454 | 31 ## @code{"pearson"} (default), the (usual) Pearson's product moment |
| 32 ## correlation coefficient is used. In this case, the data should come | |
| 33 ## from a bivariate normal distribution. Otherwise, the other two | |
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34 ## methods offer nonparametric alternatives. If @var{method} is |
| 3454 | 35 ## @code{"kendall"}, then Kendall's rank correlation tau is used. If |
| 36 ## @var{method} is @code{"spearman"}, then Spearman's rank correlation | |
| 37 ## rho is used. Only the first character is necessary. | |
| 3200 | 38 ## |
| 39 ## The output is a structure with the following elements: | |
| 40 ## | |
| 3454 | 41 ## @table @var |
| 42 ## @item pval | |
| 43 ## The p-value of the test. | |
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44 ## |
| 3454 | 45 ## @item stat |
| 46 ## The value of the test statistic. | |
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47 ## |
| 3454 | 48 ## @item dist |
| 49 ## The distribution of the test statistic. | |
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50 ## |
| 3454 | 51 ## @item params |
| 52 ## The parameters of the null distribution of the test statistic. | |
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53 ## |
| 3454 | 54 ## @item alternative |
| 55 ## The alternative hypothesis. | |
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56 ## |
| 3454 | 57 ## @item method |
| 58 ## The method used for testing. | |
| 59 ## @end table | |
| 60 ## | |
| 61 ## If no output argument is given, the p-value is displayed. | |
| 62 ## @end deftypefn | |
| 3200 | 63 |
| 3456 | 64 ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at> |
| 5428 | 65 ## Adapted-by: KH <Kurt.Hornik@wu-wien.ac.at> |
| 3456 | 66 ## Description: Test for zero correlation |
| 3200 | 67 |
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68 function t = cor_test (x, y, alt, method) |
| 3426 | 69 |
| 3200 | 70 if ((nargin < 2) || (nargin > 4)) |
| 6046 | 71 print_usage (); |
| 3200 | 72 endif |
| 73 | |
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74 if (!isvector (x) || !isvector (y) || length (x) != length (y)) |
| 8664 | 75 error ("cor_test: X and Y must be vectors of the same length"); |
| 3200 | 76 endif |
| 77 | |
| 78 if (nargin < 3) | |
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79 alt = "!="; |
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80 elseif (! ischar (alt)) |
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81 error ("cor_test: ALT must be a string"); |
| 3200 | 82 endif |
| 83 | |
| 84 if (nargin < 4) | |
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85 method = "pearson"; |
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86 elseif (! ischar (method)) |
| 3456 | 87 error ("cor_test: METHOD must be a string"); |
| 3200 | 88 endif |
| 89 | |
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90 n = length (x); |
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91 m = method (1); |
| 3200 | 92 |
| 93 if (m == "p") | |
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Rik <octave@nomad.inbox5.com>
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94 r = corr (x, y); |
| 3200 | 95 df = n - 2; |
| 96 t.method = "Pearson's product moment correlation"; | |
| 97 t.params = df; | |
| 98 t.stat = sqrt (df) .* r / sqrt (1 - r.^2); | |
| 99 t.dist = "t"; | |
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100 cdf = tcdf (t.stat, df); |
| 3200 | 101 elseif (m == "k") |
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102 tau = kendall (x, y); |
| 3426 | 103 t.method = "Kendall's rank correlation tau"; |
| 3200 | 104 t.params = []; |
| 105 t.stat = tau / sqrt ((2 * (2*n+5)) / (9*n*(n-1))); | |
| 106 t.dist = "stdnormal"; | |
| 107 cdf = stdnormal_cdf (t.stat); | |
| 108 elseif (m == "s") | |
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109 rho = spearman (x, y); |
| 3200 | 110 t.method = "Spearman's rank correlation rho"; |
| 111 t.params = []; | |
| 112 t.stat = sqrt (n-1) * (rho - 6/(n^3-n)); | |
| 3426 | 113 t.dist = "stdnormal"; |
| 3200 | 114 cdf = stdnormal_cdf (t.stat); |
| 115 else | |
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116 error ("cor_test: METHOD `%s' not recognized", method); |
| 3200 | 117 endif |
| 118 | |
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119 if (strcmp (alt, "!=") || strcmp (alt, "<>")) |
| 3200 | 120 t.pval = 2 * min (cdf, 1 - cdf); |
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Rik <octave@nomad.inbox5.com>
parents:
10821
diff
changeset
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121 elseif (strcmp (alt, ">")) |
| 3200 | 122 t.pval = 1 - cdf; |
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Rik <octave@nomad.inbox5.com>
parents:
10821
diff
changeset
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123 elseif (strcmp (alt, "<")) |
| 3200 | 124 t.pval = cdf; |
| 125 else | |
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Rik <octave@nomad.inbox5.com>
parents:
10821
diff
changeset
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126 error ("cor_test: alternative `%s' not recognized", alt); |
| 3200 | 127 endif |
| 128 | |
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Rik <octave@nomad.inbox5.com>
parents:
10821
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129 t.alternative = alt; |
| 3200 | 130 |
| 131 if (nargout == 0) | |
| 3456 | 132 printf ("pval: %g\n", t.pval); |
| 3200 | 133 endif |
| 3426 | 134 |
| 3200 | 135 endfunction |