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Avoid that cor(x,x) != 1... #17464

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Jul 25, 2016
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Avoid that cor(x,x) != 1... #17464

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41 changes: 21 additions & 20 deletions base/statistics.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -368,25 +368,6 @@ function corzm(x::AbstractMatrix, vardim::Int=1)
c = unscaled_covzm(x, vardim)
return cov2cor!(c, sqrt!(diag(c)))
end
function corzm(x::AbstractVector, y::AbstractVector)
n = length(x)
length(y) == n || throw(DimensionMismatch("inconsistent lengths"))
x1 = x[1]
y1 = y[1]
xx = abs2(x1)
yy = abs2(y1)
xy = x1 * conj(y1)
i = 1
while i < n
i += 1
@inbounds xi = x[i]
@inbounds yi = y[i]
xx += abs2(xi)
yy += abs2(yi)
xy += xi * conj(yi)
end
return xy / (sqrt(xx) * sqrt(yy))
end
corzm(x::AbstractVector, y::AbstractMatrix, vardim::Int=1) =
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are packages calling this method? may be safer to deprecate

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I don't think so. I checked and I've only seen @simonster using it for WIP. It's not exported so deprecating it also a little bit messy.

cov2cor!(unscaled_covzm(x, y, vardim), sqrt(sumabs2(x)), sqrt!(sumabs2(y, vardim)))
corzm(x::AbstractMatrix, y::AbstractVector, vardim::Int=1) =
Expand All @@ -398,7 +379,27 @@ corzm(x::AbstractMatrix, y::AbstractMatrix, vardim::Int=1) =

corm{T}(x::AbstractVector{T}, xmean) = one(real(T))
corm(x::AbstractMatrix, xmean, vardim::Int=1) = corzm(x .- xmean, vardim)
corm(x::AbstractVector, xmean, y::AbstractVector, ymean) = corzm(x .- xmean, y .- ymean)
function corm(x::AbstractVector, mx::Number, y::AbstractVector, my::Number)
n = length(x)
length(y) == n || throw(DimensionMismatch("inconsistent lengths"))
n > 0 || throw(ArgumentError("correlation only defined for non-empty vectors"))

@inbounds begin
# Initialize the accumulators
xx = zero(sqrt(x[1] * x[1]))
yy = zero(sqrt(y[1] * y[1]))
xy = zero(xx * yy)

@simd for i = 1:n
xi = x[i] - mx
yi = y[i] - my
xx += abs2(xi)
yy += abs2(yi)
xy += xi * yi'
end
end
return clamp(xy / max(xx, yy) / sqrt(min(xx, yy) / max(xx, yy)), -1, 1)
end
corm(x::AbstractVecOrMat, xmean, y::AbstractVecOrMat, ymean, vardim::Int=1) =
corzm(x .- xmean, y .- ymean, vardim)

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