Mercurial > hg > octave-nkf
annotate scripts/statistics/tests/cor_test.m @ 11469:c776f063fefe
Overhaul m-script files to use common variable name between code and documentation.
| author | Rik <octave@nomad.inbox5.com> |
|---|---|
| date | Sun, 09 Jan 2011 12:41:21 -0800 |
| parents | 693e22af08ae |
| children | 1740012184f9 |
| rev | line source |
|---|---|
| 8920 | 1 ## Copyright (C) 1995, 1996, 1997, 1998, 2000, 2002, 2005, 2006, 2007, 2009 |
| 7017 | 2 ## Kurt Hornik |
| 3426 | 3 ## |
| 3922 | 4 ## This file is part of Octave. |
| 5 ## | |
| 6 ## Octave is free software; you can redistribute it and/or modify it | |
| 7 ## under the terms of the GNU General Public License as published by | |
| 7016 | 8 ## the Free Software Foundation; either version 3 of the License, or (at |
| 9 ## your option) any later version. | |
| 3426 | 10 ## |
| 3922 | 11 ## Octave is distributed in the hope that it will be useful, but |
| 3200 | 12 ## WITHOUT ANY WARRANTY; without even the implied warranty of |
| 13 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU | |
| 3426 | 14 ## General Public License for more details. |
| 15 ## | |
| 3200 | 16 ## You should have received a copy of the GNU General Public License |
| 7016 | 17 ## along with Octave; see the file COPYING. If not, see |
| 18 ## <http://www.gnu.org/licenses/>. | |
| 3200 | 19 |
| 3454 | 20 ## -*- texinfo -*- |
| 21 ## @deftypefn {Function File} {} cor_test (@var{x}, @var{y}, @var{alt}, @var{method}) | |
| 22 ## Test whether two samples @var{x} and @var{y} come from uncorrelated | |
| 23 ## populations. | |
| 3200 | 24 ## |
| 3454 | 25 ## The optional argument string @var{alt} describes the alternative |
| 26 ## hypothesis, and can be @code{"!="} or @code{"<>"} (non-zero), | |
| 27 ## @code{">"} (greater than 0), or @code{"<"} (less than 0). The | |
| 28 ## default is the two-sided case. | |
| 3200 | 29 ## |
|
11469
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Overhaul m-script files to use common variable name between code and documentation.
Rik <octave@nomad.inbox5.com>
parents:
10821
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30 ## The optional argument string @var{method} specifies which |
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c776f063fefe
Overhaul m-script files to use common variable name between code and documentation.
Rik <octave@nomad.inbox5.com>
parents:
10821
diff
changeset
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31 ## correlation coefficient to use for testing. If @var{method} is |
| 3454 | 32 ## @code{"pearson"} (default), the (usual) Pearson's product moment |
| 33 ## correlation coefficient is used. In this case, the data should come | |
| 34 ## from a bivariate normal distribution. Otherwise, the other two | |
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35 ## methods offer nonparametric alternatives. If @var{method} is |
| 3454 | 36 ## @code{"kendall"}, then Kendall's rank correlation tau is used. If |
| 37 ## @var{method} is @code{"spearman"}, then Spearman's rank correlation | |
| 38 ## rho is used. Only the first character is necessary. | |
| 3200 | 39 ## |
| 40 ## The output is a structure with the following elements: | |
| 41 ## | |
| 3454 | 42 ## @table @var |
| 43 ## @item pval | |
| 44 ## The p-value of the test. | |
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45 ## |
| 3454 | 46 ## @item stat |
| 47 ## The value of the test statistic. | |
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Rik <octave@nomad.inbox5.com>
parents:
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48 ## |
| 3454 | 49 ## @item dist |
| 50 ## The distribution of the test statistic. | |
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Rik <octave@nomad.inbox5.com>
parents:
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51 ## |
| 3454 | 52 ## @item params |
| 53 ## The parameters of the null distribution of the test statistic. | |
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Rik <octave@nomad.inbox5.com>
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54 ## |
| 3454 | 55 ## @item alternative |
| 56 ## The alternative hypothesis. | |
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57 ## |
| 3454 | 58 ## @item method |
| 59 ## The method used for testing. | |
| 60 ## @end table | |
| 61 ## | |
| 62 ## If no output argument is given, the p-value is displayed. | |
| 63 ## @end deftypefn | |
| 3200 | 64 |
| 3456 | 65 ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at> |
| 5428 | 66 ## Adapted-by: KH <Kurt.Hornik@wu-wien.ac.at> |
| 3456 | 67 ## Description: Test for zero correlation |
| 3200 | 68 |
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69 function t = cor_test (x, y, alt, method) |
| 3426 | 70 |
| 3200 | 71 if ((nargin < 2) || (nargin > 4)) |
| 6046 | 72 print_usage (); |
| 3200 | 73 endif |
| 74 | |
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Rik <octave@nomad.inbox5.com>
parents:
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75 if (!isvector (x) || !isvector (y) || length (x) != length (y)) |
| 8664 | 76 error ("cor_test: X and Y must be vectors of the same length"); |
| 3200 | 77 endif |
| 78 | |
| 79 if (nargin < 3) | |
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Overhaul m-script files to use common variable name between code and documentation.
Rik <octave@nomad.inbox5.com>
parents:
10821
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80 alt = "!="; |
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Rik <octave@nomad.inbox5.com>
parents:
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81 elseif (! ischar (alt)) |
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Rik <octave@nomad.inbox5.com>
parents:
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82 error ("cor_test: alt must be a string"); |
| 3200 | 83 endif |
| 84 | |
| 85 if (nargin < 4) | |
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11469
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Overhaul m-script files to use common variable name between code and documentation.
Rik <octave@nomad.inbox5.com>
parents:
10821
diff
changeset
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86 method = "pearson"; |
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c776f063fefe
Overhaul m-script files to use common variable name between code and documentation.
Rik <octave@nomad.inbox5.com>
parents:
10821
diff
changeset
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87 elseif (! ischar (method)) |
| 3456 | 88 error ("cor_test: METHOD must be a string"); |
| 3200 | 89 endif |
| 90 | |
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Overhaul m-script files to use common variable name between code and documentation.
Rik <octave@nomad.inbox5.com>
parents:
10821
diff
changeset
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91 n = length (x); |
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Overhaul m-script files to use common variable name between code and documentation.
Rik <octave@nomad.inbox5.com>
parents:
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92 m = method (1); |
| 3200 | 93 |
| 94 if (m == "p") | |
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11469
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Overhaul m-script files to use common variable name between code and documentation.
Rik <octave@nomad.inbox5.com>
parents:
10821
diff
changeset
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95 r = cor (x, y); |
| 3200 | 96 df = n - 2; |
| 97 t.method = "Pearson's product moment correlation"; | |
| 98 t.params = df; | |
| 99 t.stat = sqrt (df) .* r / sqrt (1 - r.^2); | |
| 100 t.dist = "t"; | |
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101 cdf = tcdf (t.stat, df); |
| 3200 | 102 elseif (m == "k") |
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11469
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Overhaul m-script files to use common variable name between code and documentation.
Rik <octave@nomad.inbox5.com>
parents:
10821
diff
changeset
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103 tau = kendall (x, y); |
| 3426 | 104 t.method = "Kendall's rank correlation tau"; |
| 3200 | 105 t.params = []; |
| 106 t.stat = tau / sqrt ((2 * (2*n+5)) / (9*n*(n-1))); | |
| 107 t.dist = "stdnormal"; | |
| 108 cdf = stdnormal_cdf (t.stat); | |
| 109 elseif (m == "s") | |
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11469
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Overhaul m-script files to use common variable name between code and documentation.
Rik <octave@nomad.inbox5.com>
parents:
10821
diff
changeset
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110 rho = spearman (x, y); |
| 3200 | 111 t.method = "Spearman's rank correlation rho"; |
| 112 t.params = []; | |
| 113 t.stat = sqrt (n-1) * (rho - 6/(n^3-n)); | |
| 3426 | 114 t.dist = "stdnormal"; |
| 3200 | 115 cdf = stdnormal_cdf (t.stat); |
| 116 else | |
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11469
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Overhaul m-script files to use common variable name between code and documentation.
Rik <octave@nomad.inbox5.com>
parents:
10821
diff
changeset
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117 error ("cor_test: method `%s' not recognized", method); |
| 3200 | 118 endif |
| 119 | |
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11469
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Overhaul m-script files to use common variable name between code and documentation.
Rik <octave@nomad.inbox5.com>
parents:
10821
diff
changeset
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120 if (strcmp (alt, "!=") || strcmp (alt, "<>")) |
| 3200 | 121 t.pval = 2 * min (cdf, 1 - cdf); |
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11469
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Overhaul m-script files to use common variable name between code and documentation.
Rik <octave@nomad.inbox5.com>
parents:
10821
diff
changeset
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122 elseif (strcmp (alt, ">")) |
| 3200 | 123 t.pval = 1 - cdf; |
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11469
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Overhaul m-script files to use common variable name between code and documentation.
Rik <octave@nomad.inbox5.com>
parents:
10821
diff
changeset
|
124 elseif (strcmp (alt, "<")) |
| 3200 | 125 t.pval = cdf; |
| 126 else | |
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11469
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Overhaul m-script files to use common variable name between code and documentation.
Rik <octave@nomad.inbox5.com>
parents:
10821
diff
changeset
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127 error ("cor_test: alternative `%s' not recognized", alt); |
| 3200 | 128 endif |
| 129 | |
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11469
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Overhaul m-script files to use common variable name between code and documentation.
Rik <octave@nomad.inbox5.com>
parents:
10821
diff
changeset
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130 t.alternative = alt; |
| 3200 | 131 |
| 132 if (nargout == 0) | |
| 3456 | 133 printf ("pval: %g\n", t.pval); |
| 3200 | 134 endif |
| 3426 | 135 |
| 3200 | 136 endfunction |