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annotate scripts/statistics/base/corr.m @ 20830:b65888ec820e draft default tip gccjit

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dmalcom gcc jit import
author Stefan Mahr <dac922@gmx.de>
date Fri, 27 Feb 2015 16:59:36 +0100
parents 9fc020886ae9
children
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rev   line source
19898
4197fc428c7d maint: Update copyright notices for 2015.
John W. Eaton <jwe@octave.org>
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1 ## Copyright (C) 1996-2015 John W. Eaton
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2 ##
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3 ## This file is part of Octave.
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4 ##
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5 ## Octave is free software; you can redistribute it and/or modify it
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6 ## under the terms of the GNU General Public License as published by
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7 ## the Free Software Foundation; either version 3 of the License, or (at
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8 ## your option) any later version.
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9 ##
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10 ## Octave is distributed in the hope that it will be useful, but
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11 ## WITHOUT ANY WARRANTY; without even the implied warranty of
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12 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
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13 ## General Public License for more details.
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14 ##
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15 ## You should have received a copy of the GNU General Public License
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16 ## along with Octave; see the file COPYING. If not, see
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17 ## <http://www.gnu.org/licenses/>.
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18
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19 ## -*- texinfo -*-
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20 ## @deftypefn {Function File} {} corr (@var{x})
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21 ## @deftypefnx {Function File} {} corr (@var{x}, @var{y})
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22 ## Compute matrix of correlation coefficients.
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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, then the @w{(@var{i}, @var{j})-th} entry of
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26 ## @code{corr (@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 ## @tex
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29 ## $$
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30 ## {\rm corr}(x,y) = {{\rm cov}(x,y) \over {\rm std}(x) {\rm std}(y)}
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31 ## $$
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32 ## @end tex
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33 ## @ifnottex
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34 ##
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35 ## @example
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36 ## corr (x,y) = cov (x,y) / (std (x) * std (y))
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37 ## @end example
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38 ##
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39 ## @end ifnottex
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40 ## If called with one argument, compute @code{corr (@var{x}, @var{x})},
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41 ## the correlation between the columns of @var{x}.
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42 ## @seealso{cov}
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43 ## @end deftypefn
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44
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45 ## Author: Kurt Hornik <hornik@wu-wien.ac.at>
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46 ## Created: March 1993
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47 ## Adapted-By: jwe
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48
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49 function retval = corr (x, y = [])
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50
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51 if (nargin < 1 || nargin > 2)
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52 print_usage ();
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53 endif
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54
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55 ## Input validation is done by cov.m. Don't repeat tests here
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56
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57 ## Special case, scalar is always 100% correlated with itself
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58 if (isscalar (x))
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59 if (isa (x, "single"))
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60 retval = single (1);
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61 else
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62 retval = 1;
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63 endif
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64 return;
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65 endif
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66
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67 ## No check for division by zero error, which happens only when
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68 ## there is a constant vector and should be rare.
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69 if (nargin == 2)
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70 c = cov (x, y);
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71 s = std (x)' * std (y);
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72 retval = c ./ s;
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73 else
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74 c = cov (x);
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75 s = sqrt (diag (c));
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76 retval = c ./ (s * s');
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77 endif
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78
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79 endfunction
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80
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81
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82 %!test
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83 %! x = rand (10);
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84 %! cc1 = corr (x);
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85 %! cc2 = corr (x, x);
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86 %! assert (size (cc1) == [10, 10] && size (cc2) == [10, 10]);
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87 %! assert (cc1, cc2, sqrt (eps));
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88
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89 %!test
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90 %! x = [1:3]';
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91 %! y = [3:-1:1]';
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92 %! assert (corr (x, y), -1, 5*eps);
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93 %! assert (corr (x, flipud (y)), 1, 5*eps);
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94 %! assert (corr ([x, y]), [1 -1; -1 1], 5*eps);
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95
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96 %!test
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97 %! x = single ([1:3]');
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98 %! y = single ([3:-1:1]');
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99 %! assert (corr (x, y), single (-1), 5*eps);
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100 %! assert (corr (x, flipud (y)), single (1), 5*eps);
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101 %! assert (corr ([x, y]), single ([1 -1; -1 1]), 5*eps);
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102
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103 %!assert (corr (5), 1)
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104 %!assert (corr (single (5)), single (1))
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105
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106 ## Test input validation
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107 %!error corr ()
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108 %!error corr (1, 2, 3)
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109 %!error corr ([1; 2], ["A", "B"])
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110 %!error corr (ones (2,2,2))
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111 %!error corr (ones (2,2), ones (2,2,2))
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112