public class KendallsCorrelation extends Object
A pair of observations (x1, y1) and (x2, y2) are considered concordant if x1 < x2 and y1 < y2 or x2 < x1 and y2 < y1. The pair is discordant if x1 < x2 and y2 < y1 or x2 < x1 and y1 < y2. If either x1 = x2 or y1 = y2, the pair is neither concordant nor discordant.
Kendall's Tau-b is defined as:
taub = (nc - nd) / sqrt((n0 - n1) * (n0 - n2))
where:
This implementation uses the O(n log n) algorithm described in William R. Knight's 1966 paper "A Computer Method for Calculating Kendall's Tau with Ungrouped Data" in the Journal of the American Statistical Association.
| Constructor and Description |
|---|
KendallsCorrelation()
Create a KendallsCorrelation instance without data.
|
KendallsCorrelation(double[][] data)
Create a KendallsCorrelation from a rectangular array
whose columns represent values of variables to be correlated.
|
KendallsCorrelation(RealMatrix matrix)
Create a KendallsCorrelation from a RealMatrix whose columns
represent variables to be correlated.
|
| Modifier and Type | Method and Description |
|---|---|
RealMatrix |
computeCorrelationMatrix(double[][] matrix)
Computes the Kendall's Tau rank correlation matrix for the columns of
the input rectangular array.
|
RealMatrix |
computeCorrelationMatrix(RealMatrix matrix)
Computes the Kendall's Tau rank correlation matrix for the columns of
the input matrix.
|
double |
correlation(double[] xArray,
double[] yArray)
Computes the Kendall's Tau rank correlation coefficient between the two arrays.
|
RealMatrix |
getCorrelationMatrix()
Returns the correlation matrix.
|
public KendallsCorrelation()
public KendallsCorrelation(double[][] data)
data - rectangular array with columns representing variablesIllegalArgumentException - if the input data array is not
rectangular with at least two rows and two columns.public KendallsCorrelation(RealMatrix matrix)
matrix - matrix with columns representing variables to correlatepublic RealMatrix getCorrelationMatrix()
public RealMatrix computeCorrelationMatrix(RealMatrix matrix)
matrix - matrix with columns representing variables to correlatepublic RealMatrix computeCorrelationMatrix(double[][] matrix)
matrix - matrix with columns representing variables to correlatepublic double correlation(double[] xArray,
double[] yArray)
throws DimensionMismatchException
xArray - first data arrayyArray - second data arrayDimensionMismatchException - if the arrays lengths do not matchCopyright © 2003–2016 The Apache Software Foundation. All rights reserved.