Mercurial > hg > octave-lyh
annotate scripts/statistics/tests/cor_test.m @ 17535:c12c688a35ed default tip lyh
Fix warnings
| author | LYH <lyh.kernel@gmail.com> |
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| date | Fri, 27 Sep 2013 17:43:27 +0800 |
| parents | 1c89599167a6 |
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| rev | line source |
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1 ## Copyright (C) 1995-2012 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 |
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25 ## hypothesis, and can be @qcode{"!="} or @qcode{"<>"} (non-zero), |
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26 ## @qcode{">"} (greater than 0), or @qcode{"<"} (less than 0). The |
| 3454 | 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 |
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31 ## @qcode{"pearson"} (default), the (usual) Pearson's product moment |
| 3454 | 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 |
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35 ## @qcode{"kendall"}, then Kendall's rank correlation tau is used. If |
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36 ## @var{method} is @qcode{"spearman"}, then Spearman's rank correlation |
| 3454 | 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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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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121 elseif (strcmp (alt, ">")) |
| 3200 | 122 t.pval = 1 - cdf; |
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123 elseif (strcmp (alt, "<")) |
| 3200 | 124 t.pval = cdf; |
| 125 else | |
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126 error ("cor_test: alternative '%s' not recognized", alt); |
| 3200 | 127 endif |
| 128 | |
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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 |
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136 |