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1 ## Copyright (C) 1996, 1997, 1998, 1999, 2004, 2005, 2006, 2007, 2008, 2009 |
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2 ## John W. Eaton |
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3 ## |
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4 ## This file is part of Octave. |
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5 ## |
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6 ## Octave is free software; you can redistribute it and/or modify it |
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7 ## under the terms of the GNU General Public License as published by |
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8 ## the Free Software Foundation; either version 3 of the License, or (at |
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9 ## your option) any later version. |
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10 ## |
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11 ## Octave is distributed in the hope that it will be useful, but |
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12 ## WITHOUT ANY WARRANTY; without even the implied warranty of |
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13 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU |
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14 ## General Public License for more details. |
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15 ## |
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16 ## You should have received a copy of the GNU General Public License |
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17 ## along with Octave; see the file COPYING. If not, see |
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18 ## <http://www.gnu.org/licenses/>. |
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19 |
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20 ## -*- texinfo -*- |
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21 ## @deftypefn {Function File} {} corrcoef (@var{x}, @var{y}) |
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22 ## Compute correlation. |
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23 ## |
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24 ## If each row of @var{x} and @var{y} is an observation and each column is |
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25 ## a variable, the (@var{i}, @var{j})-th entry of |
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26 ## @code{corrcoef (@var{x}, @var{y})} is the correlation between the |
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27 ## @var{i}-th variable in @var{x} and the @var{j}-th variable in @var{y}. |
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28 ## |
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29 ## @tex |
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30 ## $$ |
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31 ## {\rm corrcoef}(x,y) = {{\rm cov}(x,y) \over {\rm std}(x) {\rm std}(y)} |
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32 ## $$ |
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33 ## @end tex |
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34 ## @ifnottex |
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35 ## @example |
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36 ## corrcoef(x,y) = cov(x,y)/(std(x)*std(y)) |
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37 ## @end example |
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38 ## @end ifnottex |
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39 ## |
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40 ## If called with one argument, compute @code{corrcoef (@var{x}, @var{x})}. |
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41 ## @end deftypefn |
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42 |
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43 ## Author: Kurt Hornik <hornik@wu-wien.ac.at> |
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44 ## Created: March 1993 |
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45 ## Adapted-By: jwe |
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46 |
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47 function retval = corrcoef (x, y) |
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48 |
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49 if (nargin < 1 || nargin > 2) |
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50 print_usage (); |
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51 endif |
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52 |
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53 if (nargin == 2) |
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54 c = cov (x, y); |
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55 s = std (x)' * std (y); |
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56 retval = c ./ s; |
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57 elseif (nargin == 1) |
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58 c = cov (x); |
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59 s = reshape (sqrt (diag (c)), 1, columns (c)); |
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60 retval = c ./ (s' * s); |
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61 endif |
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62 |
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63 endfunction |
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64 |
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65 %!test |
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66 %! x = rand (10); |
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67 %! cc1 = corrcoef (x); |
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68 %! cc2 = corrcoef (x, x); |
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69 %! assert((size (cc1) == [10, 10] && size (cc2) == [10, 10] |
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70 %! && abs (cc1 - cc2) < sqrt (eps))); |
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71 |
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72 %!error corrcoef (); |
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73 |
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74 %!error corrcoef (1, 2, 3); |
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75 |
