Press n or j to go to the next uncovered block, b, p or k for the previous block.
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* @license Apache-2.0
*
* Copyright (c) 2018 The Stdlib Authors.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
'use strict';
// MODULES //
var max = require( '@stdlib/math/base/special/max' );
var min = require( '@stdlib/math/base/special/min' );
var sqrt = require( '@stdlib/math/base/special/sqrt' );
var variance = require( '@stdlib/stats/strided/variance' );
var mean = require( '@stdlib/stats/strided/mean' );
// MAIN //
/**
* Computes the Pearson product-moment correlation coefficient between `x` and `y`.
*
* @private
* @param {NumericArray} x - first data array
* @param {NumericArray} y - second data array
* @returns {number} correlation coefficient
*
* @example
* var x = [ 1.0, 2.0, 2.0, 1.0 ];
* var y = [ 1.8, 2.2, 2.5, 1.4 ];
* var r = pcorr( x, y );
* // returns ~0.905
*/
function pcorr( x, y ) {
var denom;
var num;
var out;
var xy;
var xm;
var ym;
var i;
var n;
n = x.length;
xm = mean( n, x, 1 );
ym = mean( n, y, 1 );
xy = 0.0;
for ( i = 0; i < n; i++ ) {
xy += x[ i ] * y[ i ];
}
num = xy - ( n * xm * ym );
denom = ( n-1 ) * sqrt(variance(n, 1, x, 1)) * sqrt(variance(n, 1, y, 1) );
out = num / denom;
// Handle rounding errors:
return max( min( out, 1.0 ), -1.0 );
}
// EXPORTS //
module.exports = pcorr;
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