Needlessly Promiscuous, Modularize!

    @stdlib/stats-incr-mpcorr
    TypeScript icon, indicating that this package has built-in type declarations

    0.0.6 • Public • Published

    incrmpcorr

    NPM version Build Status Coverage Status

    Compute a moving sample Pearson product-moment correlation coefficient incrementally.

    The Pearson product-moment correlation coefficient between random variables X and Y is defined as

    Equation for the Pearson product-moment correlation coefficient.

    where the numerator is the covariance and the denominator is the product of the respective standard deviations.

    For a sample of size W, the sample Pearson product-moment correlation coefficient is defined as

    Equation for the sample Pearson product-moment correlation coefficient.

    Installation

    npm install @stdlib/stats-incr-mpcorr

    Usage

    var incrmpcorr = require( '@stdlib/stats-incr-mpcorr' );

    incrmpcorr( window[, mx, my] )

    Returns an accumulator function which incrementally computes a moving sample Pearson product-moment correlation coefficient. The window parameter defines the number of values over which to compute the moving sample Pearson product-moment correlation coefficient.

    var accumulator = incrmpcorr( 3 );

    If means are already known, provide mx and my arguments.

    var accumulator = incrmpcorr( 3, 5.0, -3.14 );

    accumulator( [x, y] )

    If provided input values x and y, the accumulator function returns an updated sample Pearson product-moment correlation coefficient. If not provided input values x and y, the accumulator function returns the current sample Pearson product-moment correlation coefficient.

    var accumulator = incrmpcorr( 3 );
    
    var r = accumulator();
    // returns null
    
    // Fill the window...
    r = accumulator( 2.0, 1.0 ); // [(2.0, 1.0)]
    // returns 0.0
    
    r = accumulator( -5.0, 3.14 ); // [(2.0, 1.0), (-5.0, 3.14)]
    // returns ~-1.0
    
    r = accumulator( 3.0, -1.0 ); // [(2.0, 1.0), (-5.0, 3.14), (3.0, -1.0)]
    // returns ~-0.925
    
    // Window begins sliding...
    r = accumulator( 5.0, -9.5 ); // [(-5.0, 3.14), (3.0, -1.0), (5.0, -9.5)]
    // returns ~-0.863
    
    r = accumulator( -5.0, 1.5 ); // [(3.0, -1.0), (5.0, -9.5), (-5.0, 1.5)]
    // returns ~-0.803
    
    r = accumulator();
    // returns ~-0.803

    Notes

    • Input values are not type checked. If provided NaN or a value which, when used in computations, results in NaN, the accumulated value is NaN for at least W-1 future invocations. If non-numeric inputs are possible, you are advised to type check and handle accordingly before passing the value to the accumulator function.
    • As W (x,y) pairs are needed to fill the window buffer, the first W-1 returned values are calculated from smaller sample sizes. Until the window is full, each returned value is calculated from all provided values.

    Examples

    var randu = require( '@stdlib/random-base-randu' );
    var incrmpcorr = require( '@stdlib/stats-incr-mpcorr' );
    
    var accumulator;
    var x;
    var y;
    var i;
    
    // Initialize an accumulator:
    accumulator = incrmpcorr( 5 );
    
    // For each simulated datum, update the moving sample correlation coefficient...
    for ( i = 0; i < 100; i++ ) {
        x = randu() * 100.0;
        y = randu() * 100.0;
        accumulator( x, y );
    }
    console.log( accumulator() );

    See Also


    Notice

    This package is part of stdlib, a standard library for JavaScript and Node.js, with an emphasis on numerical and scientific computing. The library provides a collection of robust, high performance libraries for mathematics, statistics, streams, utilities, and more.

    For more information on the project, filing bug reports and feature requests, and guidance on how to develop stdlib, see the main project repository.

    Community

    Chat


    License

    See LICENSE.

    Copyright

    Copyright © 2016-2022. The Stdlib Authors.

    Install

    npm i @stdlib/stats-incr-mpcorr

    Homepage

    stdlib.io

    DownloadsWeekly Downloads

    126

    Version

    0.0.6

    License

    Apache-2.0

    Unpacked Size

    81.9 kB

    Total Files

    11

    Last publish

    Collaborators

    • stdlib-bot
    • kgryte
    • planeshifter
    • rreusser