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1 ## Copyright (C) 1995, 1996, 1997 Kurt Hornik |
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2 ## |
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3 ## This program is free software; you can redistribute it and/or modify |
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4 ## it under the terms of the GNU General Public License as published by |
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5 ## the Free Software Foundation; either version 2, or (at your option) |
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6 ## any later version. |
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7 ## |
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8 ## This program is distributed in the hope that it will be useful, but |
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9 ## WITHOUT ANY WARRANTY; without even the implied warranty of |
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10 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU |
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11 ## General Public License for more details. |
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12 ## |
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13 ## You should have received a copy of the GNU General Public License |
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14 ## along with this file. If not, write to the Free Software Foundation, |
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15 ## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA. |
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16 |
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17 ## usage: cor (x [, y]) |
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18 ## |
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19 ## The (i,j)-th entry of cor (x, y) is the correlation between the i-th |
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20 ## variable in x and the j-th variable in y. |
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21 ## |
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22 ## For matrices, each row is an observation and each column a variable; |
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23 ## vectors are always observations and may be row or column vectors. |
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24 ## |
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25 ## cor (x) is cor (x, x). |
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26 |
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27 ## Author: KH <Kurt.Hornik@ci.tuwien.ac.at> |
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28 ## Description: Compute correlations |
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29 |
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30 function retval = cor (x, y) |
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31 |
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32 if (nargin < 1 || nargin > 2) |
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33 usage ("cor (x [, y])"); |
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34 endif |
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35 |
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36 if (nargin == 2) |
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37 c = cov (x, y); |
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38 s = std (x)' * std (y); |
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39 retval = c ./ s; |
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40 elseif (nargin == 1) |
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41 c = cov (x); |
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42 s = reshape (sqrt (diag (c)), 1, columns (c)); |
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43 retval = c ./ (s' * s); |
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44 endif |
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45 |
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46 endfunction |
