Mercurial > octave
annotate scripts/statistics/kendall.m @ 30564:796f54d4ddbf stable
update Octave Project Developers copyright for the new year
In files that have the "Octave Project Developers" copyright notice,
update for 2021.
In all .txi and .texi files except gpl.txi and gpl.texi in the
doc/liboctave and doc/interpreter directories, change the copyright
to "Octave Project Developers", the same as used for other source
files. Update copyright notices for 2022 (not done since 2019). For
gpl.txi and gpl.texi, change the copyright notice to be "Free Software
Foundation, Inc." and leave the date at 2007 only because this file
only contains the text of the GPL, not anything created by the Octave
Project Developers.
Add Paul Thomas to contributors.in.
author | John W. Eaton <jwe@octave.org> |
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date | Tue, 28 Dec 2021 18:22:40 -0500 |
parents | 7854d5752dd2 |
children | 5d3faba0342e |
rev | line source |
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1 ######################################################################## |
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2 ## |
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3 ## Copyright (C) 1995-2022 The Octave Project Developers |
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4 ## |
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5 ## See the file COPYRIGHT.md in the top-level directory of this |
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6 ## distribution or <https://octave.org/copyright/>. |
3426 | 7 ## |
3922 | 8 ## This file is part of Octave. |
9 ## | |
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10 ## Octave is free software: you can redistribute it and/or modify it |
3922 | 11 ## under the terms of the GNU General Public License as published by |
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12 ## the Free Software Foundation, either version 3 of the License, or |
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13 ## (at your option) any later version. |
3426 | 14 ## |
3922 | 15 ## Octave is distributed in the hope that it will be useful, but |
3200 | 16 ## WITHOUT ANY WARRANTY; without even the implied warranty of |
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17 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the |
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18 ## GNU General Public License for more details. |
3426 | 19 ## |
3200 | 20 ## You should have received a copy of the GNU General Public License |
7016 | 21 ## along with Octave; see the file COPYING. If not, see |
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22 ## <https://www.gnu.org/licenses/>. |
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23 ## |
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24 ######################################################################## |
3200 | 25 |
3453 | 26 ## -*- texinfo -*- |
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27 ## @deftypefn {} {} kendall (@var{x}) |
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28 ## @deftypefnx {} {} kendall (@var{x}, @var{y}) |
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29 ## @cindex Kendall's Tau |
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30 ## Compute Kendall's |
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31 ## @tex |
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32 ## $\tau$. |
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33 ## @end tex |
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34 ## @ifnottex |
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35 ## @var{tau}. |
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36 ## @end ifnottex |
3453 | 37 ## |
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38 ## For two data vectors @var{x}, @var{y} of common length @math{N}, Kendall's |
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39 ## @tex |
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40 ## $\tau$ |
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41 ## @end tex |
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42 ## @ifnottex |
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43 ## @var{tau} |
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44 ## @end ifnottex |
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45 ## is the correlation of the signs of all rank differences of |
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46 ## @var{x} and @var{y}; i.e., if both @var{x} and @var{y} have distinct |
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47 ## entries, then |
3200 | 48 ## |
3453 | 49 ## @tex |
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50 ## $$ \tau = {1 \over N(N-1)} \sum_{i,j} {\rm sign}(q_i-q_j) \, {\rm sign}(r_i-r_j) $$ |
3453 | 51 ## @end tex |
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52 ## @ifnottex |
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53 ## |
3453 | 54 ## @example |
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55 ## @group |
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56 ## 1 |
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57 ## @var{tau} = ------- SUM sign (@var{q}(i) - @var{q}(j)) * sign (@var{r}(i) - @var{r}(j)) |
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58 ## N (N-1) i,j |
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59 ## @end group |
3453 | 60 ## @end example |
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61 ## |
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62 ## @end ifnottex |
3453 | 63 ## @noindent |
64 ## in which the | |
65 ## @tex | |
66 ## $q_i$ and $r_i$ | |
67 ## @end tex | |
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68 ## @ifnottex |
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69 ## @var{q}(i) and @var{r}(i) |
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70 ## @end ifnottex |
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71 ## are the ranks of @var{x} and @var{y}, respectively. |
3453 | 72 ## |
73 ## If @var{x} and @var{y} are drawn from independent distributions, | |
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74 ## Kendall's |
6754 | 75 ## @tex |
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76 ## $\tau$ |
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78 ## @ifnottex | |
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79 ## @var{tau} |
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80 ## @end ifnottex |
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81 ## is asymptotically normal with mean 0 and variance |
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82 ## @tex |
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83 ## ${2 (2N+5) \over 9N(N-1)}$. |
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84 ## @end tex |
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85 ## @ifnottex |
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86 ## @code{(2 * (2N+5)) / (9 * N * (N-1))}. |
6754 | 87 ## @end ifnottex |
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88 ## |
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89 ## @code{kendall (@var{x})} is equivalent to @code{kendall (@var{x}, |
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90 ## @var{x})}. |
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91 ## @seealso{ranks, spearman} |
3453 | 92 ## @end deftypefn |
3200 | 93 |
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94 function tau = kendall (x, y = []) |
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95 |
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96 if (nargin < 1) |
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97 print_usage (); |
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98 endif |
3426 | 99 |
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100 if ( ! (isnumeric (x) || islogical (x)) |
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101 || ! (isnumeric (y) || islogical (y))) |
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102 error ("kendall: X and Y must be numeric matrices or vectors"); |
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103 endif |
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104 |
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105 if (ndims (x) != 2 || ndims (y) != 2) |
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106 error ("kendall: X and Y must be 2-D matrices or vectors"); |
3200 | 107 endif |
108 | |
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109 if (isrow (x)) |
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110 x = x.'; |
3200 | 111 endif |
112 [n, c] = size (x); | |
113 | |
114 if (nargin == 2) | |
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115 if (isrow (y)) |
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116 y = y.'; |
3200 | 117 endif |
118 if (rows (y) != n) | |
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119 error ("kendall: X and Y must have the same number of observations"); |
3200 | 120 else |
121 x = [x, y]; | |
122 endif | |
123 endif | |
3426 | 124 |
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125 if (isa (x, "single") || isa (y, "single")) |
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126 cls = "single"; |
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127 else |
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128 cls = "double"; |
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129 endif |
3200 | 130 r = ranks (x); |
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131 m = sign (kron (r, ones (n, 1, cls)) - kron (ones (n, 1, cls), r)); |
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132 tau = corr (m); |
3426 | 133 |
3200 | 134 if (nargin == 2) |
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135 tau = tau(1 : c, (c + 1) : columns (x)); |
3200 | 136 endif |
3426 | 137 |
6754 | 138 endfunction |
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139 |
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140 |
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141 %!test |
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142 %! x = [1:2:10]; |
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143 %! y = [100:10:149]; |
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144 %! assert (kendall (x,y), 1, 5*eps); |
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145 %! assert (kendall (x,fliplr (y)), -1, 5*eps); |
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146 |
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147 %!assert (kendall (logical (1)), 1) |
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148 %!assert (kendall (single (1)), single (1)) |
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149 |
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150 ## Test input validation |
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151 %!error <Invalid call> kendall () |
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152 %!error kendall (['A'; 'B']) |
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153 %!error kendall (ones (2,1), ['A'; 'B']) |
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154 %!error kendall (ones (2,2,2)) |
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155 %!error kendall (ones (2,2), ones (2,2,2)) |
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156 %!error kendall (ones (2,2), ones (3,2)) |