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Tidy Kendall correlation code

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This commit is contained in:
Max Halford
2017-12-09 19:47:56 +01:00
committed by Dan Kortschak
parent 6dd067537a
commit afe00782c1
2 changed files with 17 additions and 17 deletions
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14
stat/stat.go
View File

@@ -217,11 +217,14 @@ func Correlation(x, y, weights []float64) float64 {
return (sxy - xcompensation*ycompensation/sumWeights) / math.Sqrt(sxx*syy)
}
// KendallCorrelation returns the weighted Tau-a Kendall correlation between the
// samples of x and y.
// Kendall returns the weighted Tau-a Kendall correlation between the
// samples of x and y. The Kendall correlation measures the quantity of
// concordant and discordant pairs of numbers. If weights are specified then
// each pair is weighted by weights[i] * weights[j] and the final sum is
// normalized to stay between -1 and 1.
// The lengths of x and y must be equal. If weights is nil then all of the
// weights are 1. If weights is not nil, then len(x) must equal len(weights).
func KendallCorrelation(x, y, weights []float64) float64 {
func Kendall(x, y, weights []float64) float64 {
if len(x) != len(y) {
panic("stat: slice length mismatch")
}
@@ -250,15 +253,12 @@ func KendallCorrelation(x, y, weights []float64) float64 {
var sumWeights float64
var c int
for i := 0; i < n; i++ {
for j := i; j < n; j++ {
if i == j {
continue
}
c++
var weight = weights[i] * weights[j]
weight := weights[i] * weights[j]
if math.Signbit(x[j]-x[i]) == math.Signbit(y[j]-y[i]) {
cc += weight
} else {

20
stat/stat_test.go
View File

@@ -136,7 +136,7 @@ func TestCorrelation(t *testing.T) {
}
}
func ExampleKendallCorrelation() {
func ExampleKendall() {
x := []float64{8, -3, 7, 8, -4}
y := []float64{10, 5, 6, 3, -1}
w := []float64{2, 1.5, 3, 3, 2}
@@ -144,7 +144,7 @@ func ExampleKendallCorrelation() {
fmt.Println("Kendall correlation computes the number of ordered pairs")
fmt.Println("between two datasets.")
c := KendallCorrelation(x, y, w)
c := Kendall(x, y, w)
fmt.Printf("Kendall correlation is %.5f\n", c)
// Output:
@@ -153,7 +153,7 @@ func ExampleKendallCorrelation() {
// Kendall correlation is 0.25000
}
func TestKendallCorrelation(t *testing.T) {
func TestKendall(t *testing.T) {
for i, test := range []struct {
x []float64
y []float64
@@ -197,19 +197,19 @@ func TestKendallCorrelation(t *testing.T) {
ans: 1,
},
} {
c := KendallCorrelation(test.x, test.y, test.weights)
c := Kendall(test.x, test.y, test.weights)
if math.Abs(test.ans-c) > 1e-14 {
t.Errorf("Correlation mismatch case %d. Expected %v, Found %v", i, test.ans, c)
}
}
if !panics(func() { KendallCorrelation(make([]float64, 2), make([]float64, 3), make([]float64, 3)) }) {
t.Errorf("KendallCorrelation did not panic with length mismatch")
if !panics(func() { Kendall(make([]float64, 2), make([]float64, 3), make([]float64, 3)) }) {
t.Errorf("Kendall did not panic with length mismatch")
}
if !panics(func() { KendallCorrelation(make([]float64, 2), make([]float64, 3), nil) }) {
t.Errorf("KendallCorrelation did not panic with length mismatch")
if !panics(func() { Kendall(make([]float64, 2), make([]float64, 3), nil) }) {
t.Errorf("Kendall did not panic with length mismatch")
}
if !panics(func() { KendallCorrelation(make([]float64, 3), make([]float64, 3), make([]float64, 2)) }) {
t.Errorf("KendallCorrelation did not panic with weights length mismatch")
if !panics(func() { Kendall(make([]float64, 3), make([]float64, 3), make([]float64, 2)) }) {
t.Errorf("Kendall did not panic with weights length mismatch")
}
}