org.apache.commons.math3.stat.correlation
Class SpearmansCorrelation

java.lang.Object
  extended by org.apache.commons.math3.stat.correlation.SpearmansCorrelation

public class SpearmansCorrelation
extends Object

Spearman's rank correlation. This implementation performs a rank transformation on the input data and then computes PearsonsCorrelation on the ranked data.

By default, ranks are computed using NaturalRanking with default strategies for handling NaNs and ties in the data (NaNs maximal, ties averaged). The ranking algorithm can be set using a constructor argument.

Since:
2.0
Version:
$Id: SpearmansCorrelation.java 1422313 2012-12-15 18:53:41Z psteitz $

Constructor Summary
SpearmansCorrelation()
          Create a SpearmansCorrelation without data.
SpearmansCorrelation(RankingAlgorithm rankingAlgorithm)
          Create a SpearmansCorrelation with the given ranking algorithm.
SpearmansCorrelation(RealMatrix dataMatrix)
          Create a SpearmansCorrelation from the given data matrix.
SpearmansCorrelation(RealMatrix dataMatrix, RankingAlgorithm rankingAlgorithm)
          Create a SpearmansCorrelation with the given input data matrix and ranking algorithm.
 
Method Summary
 RealMatrix computeCorrelationMatrix(double[][] matrix)
          Computes the Spearman's rank correlation matrix for the columns of the input rectangular array.
 RealMatrix computeCorrelationMatrix(RealMatrix matrix)
          Computes the Spearman's rank correlation matrix for the columns of the input matrix.
 double correlation(double[] xArray, double[] yArray)
          Computes the Spearman's rank correlation coefficient between the two arrays.
 RealMatrix getCorrelationMatrix()
          Calculate the Spearman Rank Correlation Matrix.
 PearsonsCorrelation getRankCorrelation()
          Returns a PearsonsCorrelation instance constructed from the ranked input data.
 
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
 

Constructor Detail

SpearmansCorrelation

public SpearmansCorrelation()
Create a SpearmansCorrelation without data.


SpearmansCorrelation

public SpearmansCorrelation(RankingAlgorithm rankingAlgorithm)
Create a SpearmansCorrelation with the given ranking algorithm.

Parameters:
rankingAlgorithm - ranking algorithm
Since:
3.1

SpearmansCorrelation

public SpearmansCorrelation(RealMatrix dataMatrix)
Create a SpearmansCorrelation from the given data matrix.

Parameters:
dataMatrix - matrix of data with columns representing variables to correlate

SpearmansCorrelation

public SpearmansCorrelation(RealMatrix dataMatrix,
                            RankingAlgorithm rankingAlgorithm)
Create a SpearmansCorrelation with the given input data matrix and ranking algorithm.

Parameters:
dataMatrix - matrix of data with columns representing variables to correlate
rankingAlgorithm - ranking algorithm
Method Detail

getCorrelationMatrix

public RealMatrix getCorrelationMatrix()
Calculate the Spearman Rank Correlation Matrix.

Returns:
Spearman Rank Correlation Matrix

getRankCorrelation

public PearsonsCorrelation getRankCorrelation()
Returns a PearsonsCorrelation instance constructed from the ranked input data. That is, new SpearmansCorrelation(matrix).getRankCorrelation() is equivalent to new PearsonsCorrelation(rankTransform(matrix)) where rankTransform(matrix) is the result of applying the configured RankingAlgorithm to each of the columns of matrix.

Returns:
PearsonsCorrelation among ranked column data

computeCorrelationMatrix

public RealMatrix computeCorrelationMatrix(RealMatrix matrix)
Computes the Spearman's rank correlation matrix for the columns of the input matrix.

Parameters:
matrix - matrix with columns representing variables to correlate
Returns:
correlation matrix

computeCorrelationMatrix

public RealMatrix computeCorrelationMatrix(double[][] matrix)
Computes the Spearman's rank correlation matrix for the columns of the input rectangular array. The columns of the array represent values of variables to be correlated.

Parameters:
matrix - matrix with columns representing variables to correlate
Returns:
correlation matrix

correlation

public double correlation(double[] xArray,
                          double[] yArray)
Computes the Spearman's rank correlation coefficient between the two arrays.

Parameters:
xArray - first data array
yArray - second data array
Returns:
Returns Spearman's rank correlation coefficient for the two arrays
Throws:
DimensionMismatchException - if the arrays lengths do not match
MathIllegalArgumentException - if the array length is less than 2


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