Mercurial > hg > octave-nkf
annotate scripts/statistics/tests/cor_test.m @ 20384:d9341b422488 stable
doc: Update more docstrings to have one sentence summary as first line.
Reviewed statistics/ and @ftp/ in scripts directory.
* scripts/@ftp/ascii.m, scripts/@ftp/binary.m, scripts/@ftp/cd.m,
scripts/@ftp/dir.m, scripts/@ftp/ftp.m, scripts/@ftp/mget.m,
scripts/@ftp/mput.m, scripts/statistics/base/center.m,
scripts/statistics/base/cloglog.m, scripts/statistics/base/cov.m,
scripts/statistics/base/gls.m, scripts/statistics/base/histc.m,
scripts/statistics/base/iqr.m, scripts/statistics/base/kendall.m,
scripts/statistics/base/kurtosis.m, scripts/statistics/base/logit.m,
scripts/statistics/base/lscov.m, scripts/statistics/base/mahalanobis.m,
scripts/statistics/base/mean.m, scripts/statistics/base/meansq.m,
scripts/statistics/base/median.m, scripts/statistics/base/mode.m,
scripts/statistics/base/moment.m, scripts/statistics/base/ols.m,
scripts/statistics/base/ppplot.m, scripts/statistics/base/prctile.m,
scripts/statistics/base/probit.m, scripts/statistics/base/range.m,
scripts/statistics/base/ranks.m, scripts/statistics/base/run_count.m,
scripts/statistics/base/runlength.m, scripts/statistics/base/skewness.m,
scripts/statistics/base/spearman.m, scripts/statistics/base/statistics.m,
scripts/statistics/base/std.m, scripts/statistics/base/table.m,
scripts/statistics/base/var.m, scripts/statistics/base/zscore.m,
scripts/statistics/distributions/betainv.m,
scripts/statistics/distributions/binoinv.m,
scripts/statistics/distributions/binopdf.m,
scripts/statistics/distributions/cauchy_cdf.m,
scripts/statistics/distributions/cauchy_inv.m,
scripts/statistics/distributions/cauchy_pdf.m,
scripts/statistics/distributions/chi2cdf.m,
scripts/statistics/distributions/chi2inv.m,
scripts/statistics/distributions/chi2pdf.m,
scripts/statistics/distributions/discrete_cdf.m,
scripts/statistics/distributions/discrete_inv.m,
scripts/statistics/distributions/discrete_pdf.m,
scripts/statistics/distributions/empirical_cdf.m,
scripts/statistics/distributions/empirical_inv.m,
scripts/statistics/distributions/empirical_pdf.m,
scripts/statistics/distributions/expcdf.m,
scripts/statistics/distributions/expinv.m,
scripts/statistics/distributions/exppdf.m,
scripts/statistics/distributions/finv.m,
scripts/statistics/distributions/fpdf.m,
scripts/statistics/distributions/gamcdf.m,
scripts/statistics/distributions/gaminv.m,
scripts/statistics/distributions/gampdf.m,
scripts/statistics/distributions/geoinv.m,
scripts/statistics/distributions/geopdf.m,
scripts/statistics/distributions/hygecdf.m,
scripts/statistics/distributions/hygeinv.m,
scripts/statistics/distributions/hygepdf.m,
scripts/statistics/distributions/kolmogorov_smirnov_cdf.m,
scripts/statistics/distributions/laplace_cdf.m,
scripts/statistics/distributions/laplace_inv.m,
scripts/statistics/distributions/laplace_pdf.m,
scripts/statistics/distributions/logistic_inv.m,
scripts/statistics/distributions/logncdf.m,
scripts/statistics/distributions/logninv.m,
scripts/statistics/distributions/lognpdf.m,
scripts/statistics/distributions/nbincdf.m,
scripts/statistics/distributions/nbininv.m,
scripts/statistics/distributions/nbinpdf.m,
scripts/statistics/distributions/nbinrnd.m,
scripts/statistics/distributions/normcdf.m,
scripts/statistics/distributions/norminv.m,
scripts/statistics/distributions/normpdf.m,
scripts/statistics/distributions/poisscdf.m,
scripts/statistics/distributions/poissinv.m,
scripts/statistics/distributions/poisspdf.m,
scripts/statistics/distributions/stdnormal_cdf.m,
scripts/statistics/distributions/stdnormal_pdf.m,
scripts/statistics/distributions/tcdf.m,
scripts/statistics/distributions/tinv.m,
scripts/statistics/distributions/tpdf.m,
scripts/statistics/distributions/unidcdf.m,
scripts/statistics/distributions/unidinv.m,
scripts/statistics/distributions/unidpdf.m,
scripts/statistics/distributions/unidrnd.m,
scripts/statistics/distributions/unifcdf.m,
scripts/statistics/distributions/unifinv.m,
scripts/statistics/distributions/wblcdf.m,
scripts/statistics/distributions/wblinv.m,
scripts/statistics/distributions/wblpdf.m,
scripts/statistics/distributions/wienrnd.m,
scripts/statistics/models/private/logistic_regression_derivatives.m,
scripts/statistics/models/private/logistic_regression_likelihood.m,
scripts/statistics/tests/anova.m,
scripts/statistics/tests/chisquare_test_homogeneity.m,
scripts/statistics/tests/chisquare_test_independence.m,
scripts/statistics/tests/cor_test.m,
scripts/statistics/tests/f_test_regression.m,
scripts/statistics/tests/hotelling_test.m,
scripts/statistics/tests/kolmogorov_smirnov_test.m,
scripts/statistics/tests/kolmogorov_smirnov_test_2.m,
scripts/statistics/tests/kruskal_wallis_test.m,
scripts/statistics/tests/manova.m, scripts/statistics/tests/mcnemar_test.m,
scripts/statistics/tests/prop_test_2.m, scripts/statistics/tests/run_test.m,
scripts/statistics/tests/sign_test.m, scripts/statistics/tests/t_test.m,
scripts/statistics/tests/t_test_2.m,
scripts/statistics/tests/t_test_regression.m,
scripts/statistics/tests/u_test.m, scripts/statistics/tests/var_test.m,
scripts/statistics/tests/welch_test.m,
scripts/statistics/tests/wilcoxon_test.m, scripts/statistics/tests/z_test.m,
scripts/statistics/tests/z_test_2.m:
Update more docstrings to have one sentence summary as first line.
| author | Rik <rik@octave.org> |
|---|---|
| date | Sun, 10 May 2015 16:07:41 -0700 |
| parents | 9fc020886ae9 |
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| rev | line source |
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1 ## Copyright (C) 1995-2015 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{"<>"} (nonzero), @qcode{">"} |
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26 ## (greater than 0), or @qcode{"<"} (less than 0). The default is the |
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27 ## two-sided case. |
| 3200 | 28 ## |
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29 ## The optional argument string @var{method} specifies which correlation |
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30 ## coefficient to use for testing. If @var{method} is @qcode{"pearson"} |
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31 ## (default), the (usual) Pearson's produt moment correlation coefficient is |
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32 ## used. In this case, the data should come from a bivariate normal |
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33 ## distribution. Otherwise, the other two methods offer nonparametric |
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34 ## alternatives. If @var{method} is @qcode{"kendall"}, then Kendall's rank |
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35 ## correlation tau is used. If @var{method} is @qcode{"spearman"}, then |
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36 ## Spearman's rank correlation rho is used. Only the first character is |
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37 ## 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 |
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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 |