pcorr.js (1750B)
1 /** 2 * @license Apache-2.0 3 * 4 * Copyright (c) 2018 The Stdlib Authors. 5 * 6 * Licensed under the Apache License, Version 2.0 (the "License"); 7 * you may not use this file except in compliance with the License. 8 * You may obtain a copy of the License at 9 * 10 * http://www.apache.org/licenses/LICENSE-2.0 11 * 12 * Unless required by applicable law or agreed to in writing, software 13 * distributed under the License is distributed on an "AS IS" BASIS, 14 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. 15 * See the License for the specific language governing permissions and 16 * limitations under the License. 17 */ 18 19 'use strict'; 20 21 // MODULES // 22 23 var max = require( '@stdlib/math/base/special/max' ); 24 var min = require( '@stdlib/math/base/special/min' ); 25 var sqrt = require( '@stdlib/math/base/special/sqrt' ); 26 var variance = require( './../../base/variance' ); 27 var mean = require( './../../base/mean' ); 28 29 30 // MAIN // 31 32 /** 33 * Computes the Pearson product-moment correlation coefficient between `x` and `y`. 34 * 35 * @private 36 * @param {NumericArray} x - first data array 37 * @param {NumericArray} y - second data array 38 * @returns {number} correlation coefficient 39 * 40 * @example 41 * var x = [ 1.0, 2.0, 2.0, 1.0 ]; 42 * var y = [ 1.8, 2.2, 2.5, 1.4 ]; 43 * var r = pcorr( x, y ); 44 * // returns ~0.905 45 */ 46 function pcorr( x, y ) { 47 var denom; 48 var num; 49 var out; 50 var xy; 51 var xm; 52 var ym; 53 var i; 54 var n; 55 56 n = x.length; 57 xm = mean( n, x, 1 ); 58 ym = mean( n, y, 1 ); 59 xy = 0.0; 60 for ( i = 0; i < n; i++ ) { 61 xy += x[ i ] * y[ i ]; 62 } 63 num = xy - ( n * xm * ym ); 64 denom = ( n-1 ) * sqrt(variance(n, 1, x, 1)) * sqrt(variance(n, 1, y, 1) ); 65 out = num / denom; 66 67 // Handle rounding errors: 68 return max( min( out, 1.0 ), -1.0 ); 69 } 70 71 72 // EXPORTS // 73 74 module.exports = pcorr;