| Portability | portable |
|---|---|
| Stability | experimental |
| Safe Haskell | None |
TimeSeries.Correlation
Description
Functions for correlation analysis.
- direct :: Window -> Window -> Double
- sketch_naive :: [Window] -> Int -> Window -> Window -> Double
- sketch :: Window -> Window -> Double
- sketch_distance :: Int -> [Double] -> [Double] -> Double
- norm :: Floating a => [a] -> a
- mean :: Fractional a => [a] -> a
- stddev :: [Double] -> Double
- stddev' :: Window -> Double
- len :: Num b => [a] -> b
- dotp :: Num a => [a] -> [a] -> a
- chunks :: Int -> [a] -> [[a]]
- square :: Fractional a => a -> a
Documentation
direct :: Window -> Window -> DoubleSource
Direct computation of correlation of two windows X and Y. Resulting value r is:
See: http://en.wikipedia.org/wiki/Pearson_product-moment_correlation_coefficient#Definition
Where: X̄ is mean of X, Xi is i-th element of X.
Arguments
| :: [Window] | Random vectors, length of list is d (the sketch size).
Length of |
| -> Int | Size of sliding window. |
| -> Window | First sliding window. |
| -> Window | Second sliding window. |
| -> Double |
Naive correlation from sketch distance, using:
sketch distance is computated without incremental update.
Sketch distance based correlation.
Sketch distance.
mean :: Fractional a => [a] -> aSource
square :: Fractional a => a -> aSource