alglib 0.1.1

data/ext/alglib/correlationtests.cpp

@@ -0,0 +1,726 @@
+/*************************************************************************
+Copyright (c) 2007, Sergey Bochkanov (ALGLIB project).
+
+Redistribution and use in source and binary forms, with or without
+modification, are permitted provided that the following conditions are
+met:
+
+- Redistributions of source code must retain the above copyright
+  notice, this list of conditions and the following disclaimer.
+
+- Redistributions in binary form must reproduce the above copyright
+  notice, this list of conditions and the following disclaimer listed
+  in this license in the documentation and/or other materials
+  provided with the distribution.
+
+- Neither the name of the copyright holders nor the names of its
+  contributors may be used to endorse or promote products derived from
+  this software without specific prior written permission.
+
+THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
+"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
+LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
+A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
+OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
+SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
+LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
+DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
+THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
+(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
+OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+*************************************************************************/
+
+#include <stdafx.h>
+#include "correlationtests.h"
+
+static double spearmantail5(double s);
+static double spearmantail6(double s);
+static double spearmantail7(double s);
+static double spearmantail8(double s);
+static double spearmantail9(double s);
+static double spearmantail(double t, int n);
+
+/*************************************************************************
+Pearson's correlation coefficient significance test
+
+This test checks hypotheses about whether X  and  Y  are  samples  of  two
+continuous  distributions  having  zero  correlation  or   whether   their
+correlation is non-zero.
+
+The following tests are performed:
+    * two-tailed test (null hypothesis - X and Y have zero correlation)
+    * left-tailed test (null hypothesis - the correlation  coefficient  is
+      greater than or equal to 0)
+    * right-tailed test (null hypothesis - the correlation coefficient  is
+      less than or equal to 0).
+
+Requirements:
+    * the number of elements in each sample is not less than 5
+    * normality of distributions of X and Y.
+
+Input parameters:
+    R   -   Pearson's correlation coefficient for X and Y
+    N   -   number of elements in samples, N>=5.
+
+Output parameters:
+    BothTails   -   p-value for two-tailed test.
+                    If BothTails is less than the given significance level
+                    the null hypothesis is rejected.
+    LeftTail    -   p-value for left-tailed test.
+                    If LeftTail is less than the given significance level,
+                    the null hypothesis is rejected.
+    RightTail   -   p-value for right-tailed test.
+                    If RightTail is less than the given significance level
+                    the null hypothesis is rejected.
+
+  -- ALGLIB --
+     Copyright 09.04.2007 by Bochkanov Sergey
+*************************************************************************/
+void pearsoncorrelationsignificance(double r,
+     int n,
+     double& bothtails,
+     double& lefttail,
+     double& righttail)
+{
+    double t;
+    double p;
+
+    
+    //
+    // Some special cases
+    //
+    if( r>=1 )
+    {
+        bothtails = 0.0;
+        lefttail = 1.0;
+        righttail = 0.0;
+        return;
+    }
+    if( r<=-1 )
+    {
+        bothtails = 0.0;
+        lefttail = 0.0;
+        righttail = 1.0;
+        return;
+    }
+    if( n<5 )
+    {
+        bothtails = 1.0;
+        lefttail = 1.0;
+        righttail = 1.0;
+        return;
+    }
+    
+    //
+    // General case
+    //
+    t = r*sqrt((n-2)/(1-ap::sqr(r)));
+    p = studenttdistribution(n-2, t);
+    bothtails = 2*ap::minreal(p, 1-p);
+    lefttail = p;
+    righttail = 1-p;
+}
+
+
+/*************************************************************************
+Spearman's rank correlation coefficient significance test
+
+This test checks hypotheses about whether X  and  Y  are  samples  of  two
+continuous  distributions  having  zero  correlation  or   whether   their
+correlation is non-zero.
+
+The following tests are performed:
+    * two-tailed test (null hypothesis - X and Y have zero correlation)
+    * left-tailed test (null hypothesis - the correlation  coefficient  is
+      greater than or equal to 0)
+    * right-tailed test (null hypothesis - the correlation coefficient  is
+      less than or equal to 0).
+
+Requirements:
+    * the number of elements in each sample is not less than 5.
+
+The test is non-parametric and doesn't require distributions X and Y to be
+normal.
+
+Input parameters:
+    R   -   Spearman's rank correlation coefficient for X and Y
+    N   -   number of elements in samples, N>=5.
+
+Output parameters:
+    BothTails   -   p-value for two-tailed test.
+                    If BothTails is less than the given significance level
+                    the null hypothesis is rejected.
+    LeftTail    -   p-value for left-tailed test.
+                    If LeftTail is less than the given significance level,
+                    the null hypothesis is rejected.
+    RightTail   -   p-value for right-tailed test.
+                    If RightTail is less than the given significance level
+                    the null hypothesis is rejected.
+
+  -- ALGLIB --
+     Copyright 09.04.2007 by Bochkanov Sergey
+*************************************************************************/
+void spearmanrankcorrelationsignificance(double r,
+     int n,
+     double& bothtails,
+     double& lefttail,
+     double& righttail)
+{
+    double t;
+    double p;
+
+    
+    //
+    // Special case
+    //
+    if( n<5 )
+    {
+        bothtails = 1.0;
+        lefttail = 1.0;
+        righttail = 1.0;
+        return;
+    }
+    
+    //
+    // General case
+    //
+    if( r>=1 )
+    {
+        t = 1.0E10;
+    }
+    else
+    {
+        if( r<=-1 )
+        {
+            t = -1.0E10;
+        }
+        else
+        {
+            t = r*sqrt((n-2)/(1-ap::sqr(r)));
+        }
+    }
+    if( t<0 )
+    {
+        p = spearmantail(t, n);
+        bothtails = 2*p;
+        lefttail = p;
+        righttail = 1-p;
+    }
+    else
+    {
+        p = spearmantail(-t, n);
+        bothtails = 2*p;
+        lefttail = 1-p;
+        righttail = p;
+    }
+}
+
+
+/*************************************************************************
+Tail(S, 5)
+*************************************************************************/
+static double spearmantail5(double s)
+{
+    double result;
+
+    if( s<0.000e+00 )
+    {
+        result = studenttdistribution(3, -s);
+        return result;
+    }
+    if( s>=3.580e+00 )
+    {
+        result = 8.304e-03;
+        return result;
+    }
+    if( s>=2.322e+00 )
+    {
+        result = 4.163e-02;
+        return result;
+    }
+    if( s>=1.704e+00 )
+    {
+        result = 6.641e-02;
+        return result;
+    }
+    if( s>=1.303e+00 )
+    {
+        result = 1.164e-01;
+        return result;
+    }
+    if( s>=1.003e+00 )
+    {
+        result = 1.748e-01;
+        return result;
+    }
+    if( s>=7.584e-01 )
+    {
+        result = 2.249e-01;
+        return result;
+    }
+    if( s>=5.468e-01 )
+    {
+        result = 2.581e-01;
+        return result;
+    }
+    if( s>=3.555e-01 )
+    {
+        result = 3.413e-01;
+        return result;
+    }
+    if( s>=1.759e-01 )
+    {
+        result = 3.911e-01;
+        return result;
+    }
+    if( s>=1.741e-03 )
+    {
+        result = 4.747e-01;
+        return result;
+    }
+    if( s>=0.000e+00 )
+    {
+        result = 5.248e-01;
+        return result;
+    }
+    result = 0;
+    return result;
+}
+
+
+/*************************************************************************
+Tail(S, 6)
+*************************************************************************/
+static double spearmantail6(double s)
+{
+    double result;
+
+    if( s<1.001e+00 )
+    {
+        result = studenttdistribution(4, -s);
+        return result;
+    }
+    if( s>=5.663e+00 )
+    {
+        result = 1.366e-03;
+        return result;
+    }
+    if( s>=3.834e+00 )
+    {
+        result = 8.350e-03;
+        return result;
+    }
+    if( s>=2.968e+00 )
+    {
+        result = 1.668e-02;
+        return result;
+    }
+    if( s>=2.430e+00 )
+    {
+        result = 2.921e-02;
+        return result;
+    }
+    if( s>=2.045e+00 )
+    {
+        result = 5.144e-02;
+        return result;
+    }
+    if( s>=1.747e+00 )
+    {
+        result = 6.797e-02;
+        return result;
+    }
+    if( s>=1.502e+00 )
+    {
+        result = 8.752e-02;
+        return result;
+    }
+    if( s>=1.295e+00 )
+    {
+        result = 1.210e-01;
+        return result;
+    }
+    if( s>=1.113e+00 )
+    {
+        result = 1.487e-01;
+        return result;
+    }
+    if( s>=1.001e+00 )
+    {
+        result = 1.780e-01;
+        return result;
+    }
+    result = 0;
+    return result;
+}
+
+
+/*************************************************************************
+Tail(S, 7)
+*************************************************************************/
+static double spearmantail7(double s)
+{
+    double result;
+
+    if( s<1.001e+00 )
+    {
+        result = studenttdistribution(5, -s);
+        return result;
+    }
+    if( s>=8.159e+00 )
+    {
+        result = 2.081e-04;
+        return result;
+    }
+    if( s>=5.620e+00 )
+    {
+        result = 1.393e-03;
+        return result;
+    }
+    if( s>=4.445e+00 )
+    {
+        result = 3.398e-03;
+        return result;
+    }
+    if( s>=3.728e+00 )
+    {
+        result = 6.187e-03;
+        return result;
+    }
+    if( s>=3.226e+00 )
+    {
+        result = 1.200e-02;
+        return result;
+    }
+    if( s>=2.844e+00 )
+    {
+        result = 1.712e-02;
+        return result;
+    }
+    if( s>=2.539e+00 )
+    {
+        result = 2.408e-02;
+        return result;
+    }
+    if( s>=2.285e+00 )
+    {
+        result = 3.320e-02;
+        return result;
+    }
+    if( s>=2.068e+00 )
+    {
+        result = 4.406e-02;
+        return result;
+    }
+    if( s>=1.879e+00 )
+    {
+        result = 5.478e-02;
+        return result;
+    }
+    if( s>=1.710e+00 )
+    {
+        result = 6.946e-02;
+        return result;
+    }
+    if( s>=1.559e+00 )
+    {
+        result = 8.331e-02;
+        return result;
+    }
+    if( s>=1.420e+00 )
+    {
+        result = 1.001e-01;
+        return result;
+    }
+    if( s>=1.292e+00 )
+    {
+        result = 1.180e-01;
+        return result;
+    }
+    if( s>=1.173e+00 )
+    {
+        result = 1.335e-01;
+        return result;
+    }
+    if( s>=1.062e+00 )
+    {
+        result = 1.513e-01;
+        return result;
+    }
+    if( s>=1.001e+00 )
+    {
+        result = 1.770e-01;
+        return result;
+    }
+    result = 0;
+    return result;
+}
+
+
+/*************************************************************************
+Tail(S, 8)
+*************************************************************************/
+static double spearmantail8(double s)
+{
+    double result;
+
+    if( s<2.001e+00 )
+    {
+        result = studenttdistribution(6, -s);
+        return result;
+    }
+    if( s>=1.103e+01 )
+    {
+        result = 2.194e-05;
+        return result;
+    }
+    if( s>=7.685e+00 )
+    {
+        result = 2.008e-04;
+        return result;
+    }
+    if( s>=6.143e+00 )
+    {
+        result = 5.686e-04;
+        return result;
+    }
+    if( s>=5.213e+00 )
+    {
+        result = 1.138e-03;
+        return result;
+    }
+    if( s>=4.567e+00 )
+    {
+        result = 2.310e-03;
+        return result;
+    }
+    if( s>=4.081e+00 )
+    {
+        result = 3.634e-03;
+        return result;
+    }
+    if( s>=3.697e+00 )
+    {
+        result = 5.369e-03;
+        return result;
+    }
+    if( s>=3.381e+00 )
+    {
+        result = 7.708e-03;
+        return result;
+    }
+    if( s>=3.114e+00 )
+    {
+        result = 1.087e-02;
+        return result;
+    }
+    if( s>=2.884e+00 )
+    {
+        result = 1.397e-02;
+        return result;
+    }
+    if( s>=2.682e+00 )
+    {
+        result = 1.838e-02;
+        return result;
+    }
+    if( s>=2.502e+00 )
+    {
+        result = 2.288e-02;
+        return result;
+    }
+    if( s>=2.340e+00 )
+    {
+        result = 2.883e-02;
+        return result;
+    }
+    if( s>=2.192e+00 )
+    {
+        result = 3.469e-02;
+        return result;
+    }
+    if( s>=2.057e+00 )
+    {
+        result = 4.144e-02;
+        return result;
+    }
+    if( s>=2.001e+00 )
+    {
+        result = 4.804e-02;
+        return result;
+    }
+    result = 0;
+    return result;
+}
+
+
+/*************************************************************************
+Tail(S, 9)
+*************************************************************************/
+static double spearmantail9(double s)
+{
+    double result;
+
+    if( s<2.001e+00 )
+    {
+        result = studenttdistribution(7, -s);
+        return result;
+    }
+    if( s>=9.989e+00 )
+    {
+        result = 2.306e-05;
+        return result;
+    }
+    if( s>=8.069e+00 )
+    {
+        result = 8.167e-05;
+        return result;
+    }
+    if( s>=6.890e+00 )
+    {
+        result = 1.744e-04;
+        return result;
+    }
+    if( s>=6.077e+00 )
+    {
+        result = 3.625e-04;
+        return result;
+    }
+    if( s>=5.469e+00 )
+    {
+        result = 6.450e-04;
+        return result;
+    }
+    if( s>=4.991e+00 )
+    {
+        result = 1.001e-03;
+        return result;
+    }
+    if( s>=4.600e+00 )
+    {
+        result = 1.514e-03;
+        return result;
+    }
+    if( s>=4.272e+00 )
+    {
+        result = 2.213e-03;
+        return result;
+    }
+    if( s>=3.991e+00 )
+    {
+        result = 2.990e-03;
+        return result;
+    }
+    if( s>=3.746e+00 )
+    {
+        result = 4.101e-03;
+        return result;
+    }
+    if( s>=3.530e+00 )
+    {
+        result = 5.355e-03;
+        return result;
+    }
+    if( s>=3.336e+00 )
+    {
+        result = 6.887e-03;
+        return result;
+    }
+    if( s>=3.161e+00 )
+    {
+        result = 8.598e-03;
+        return result;
+    }
+    if( s>=3.002e+00 )
+    {
+        result = 1.065e-02;
+        return result;
+    }
+    if( s>=2.855e+00 )
+    {
+        result = 1.268e-02;
+        return result;
+    }
+    if( s>=2.720e+00 )
+    {
+        result = 1.552e-02;
+        return result;
+    }
+    if( s>=2.595e+00 )
+    {
+        result = 1.836e-02;
+        return result;
+    }
+    if( s>=2.477e+00 )
+    {
+        result = 2.158e-02;
+        return result;
+    }
+    if( s>=2.368e+00 )
+    {
+        result = 2.512e-02;
+        return result;
+    }
+    if( s>=2.264e+00 )
+    {
+        result = 2.942e-02;
+        return result;
+    }
+    if( s>=2.166e+00 )
+    {
+        result = 3.325e-02;
+        return result;
+    }
+    if( s>=2.073e+00 )
+    {
+        result = 3.800e-02;
+        return result;
+    }
+    if( s>=2.001e+00 )
+    {
+        result = 4.285e-02;
+        return result;
+    }
+    result = 0;
+    return result;
+}
+
+
+/*************************************************************************
+Tail(T,N), accepts T<0
+*************************************************************************/
+static double spearmantail(double t, int n)
+{
+    double result;
+
+    if( n==5 )
+    {
+        result = spearmantail5(-t);
+        return result;
+    }
+    if( n==6 )
+    {
+        result = spearmantail6(-t);
+        return result;
+    }
+    if( n==7 )
+    {
+        result = spearmantail7(-t);
+        return result;
+    }
+    if( n==8 )
+    {
+        result = spearmantail8(-t);
+        return result;
+    }
+    if( n==9 )
+    {
+        result = spearmantail9(-t);
+        return result;
+    }
+    result = studenttdistribution(n-2, t);
+    return result;
+}
+
+
+