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@stdlib/stats-incr-mpcorr

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Readme

incrmpcorr

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() );

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.

License

See LICENSE.

@stdlib/stats-incr-mpcorr