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statcpp
C++17 Header-Only Statistics Library
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Correlation and covariance computation functions. More...
#include <algorithm>#include <cmath>#include <cstddef>#include <functional>#include <iterator>#include <stdexcept>#include <utility>#include <vector>#include "statcpp/basic_statistics.hpp"Go to the source code of this file.
Namespaces | |
| namespace | statcpp |
| namespace | statcpp::detail |
| Internal helper functions. | |
Functions | |
| template<typename Iterator1 , typename Iterator2 > | |
| double | statcpp::population_covariance (Iterator1 first1, Iterator1 last1, Iterator2 first2, Iterator2 last2) |
| Population covariance. | |
| template<typename Iterator1 , typename Iterator2 > | |
| double | statcpp::population_covariance (Iterator1 first1, Iterator1 last1, Iterator2 first2, Iterator2 last2, double mean_x, double mean_y) |
| Population covariance with precomputed means. | |
| template<typename Iterator1 , typename Iterator2 , typename Projection1 , typename Projection2 > | |
| double | statcpp::population_covariance (Iterator1 first1, Iterator1 last1, Iterator2 first2, Iterator2 last2, Projection1 proj1, Projection2 proj2) |
| Population covariance (projection version) | |
| template<typename Iterator1 , typename Iterator2 > | |
| double | statcpp::sample_covariance (Iterator1 first1, Iterator1 last1, Iterator2 first2, Iterator2 last2) |
| Sample covariance (unbiased covariance) | |
| template<typename Iterator1 , typename Iterator2 > | |
| double | statcpp::sample_covariance (Iterator1 first1, Iterator1 last1, Iterator2 first2, Iterator2 last2, double mean_x, double mean_y) |
| Sample covariance with precomputed means. | |
| template<typename Iterator1 , typename Iterator2 , typename Projection1 , typename Projection2 > | |
| double | statcpp::sample_covariance (Iterator1 first1, Iterator1 last1, Iterator2 first2, Iterator2 last2, Projection1 proj1, Projection2 proj2) |
| Sample covariance (projection version) | |
| template<typename Iterator1 , typename Iterator2 > | |
| double | statcpp::covariance (Iterator1 first1, Iterator1 last1, Iterator2 first2, Iterator2 last2) |
| Covariance (alias for sample_covariance) | |
| template<typename Iterator1 , typename Iterator2 > | |
| double | statcpp::covariance (Iterator1 first1, Iterator1 last1, Iterator2 first2, Iterator2 last2, double mean_x, double mean_y) |
| Covariance with precomputed means (alias for sample_covariance) | |
| template<typename Iterator1 , typename Iterator2 , typename Projection1 , typename Projection2 > | |
| double | statcpp::covariance (Iterator1 first1, Iterator1 last1, Iterator2 first2, Iterator2 last2, Projection1 proj1, Projection2 proj2) |
| Covariance (projection version, alias for sample_covariance) | |
| template<typename Iterator1 , typename Iterator2 > | |
| double | statcpp::pearson_correlation (Iterator1 first1, Iterator1 last1, Iterator2 first2, Iterator2 last2) |
| Pearson correlation coefficient. | |
| template<typename Iterator1 , typename Iterator2 > | |
| double | statcpp::pearson_correlation (Iterator1 first1, Iterator1 last1, Iterator2 first2, Iterator2 last2, double mean_x, double mean_y) |
| Pearson correlation coefficient with precomputed means. | |
| template<typename Iterator1 , typename Iterator2 , typename Projection1 , typename Projection2 > | |
| double | statcpp::pearson_correlation (Iterator1 first1, Iterator1 last1, Iterator2 first2, Iterator2 last2, Projection1 proj1, Projection2 proj2) |
| Pearson correlation coefficient (projection version) | |
| template<typename Iterator > | |
| std::vector< double > | statcpp::detail::compute_ranks (Iterator first, Iterator last) |
| Helper function to compute ranks. | |
| template<typename Iterator , typename Projection > | |
| std::vector< double > | statcpp::detail::compute_ranks (Iterator first, Iterator last, Projection proj) |
| Rank computation (projection version) | |
| template<typename Iterator1 , typename Iterator2 > | |
| double | statcpp::spearman_correlation (Iterator1 first1, Iterator1 last1, Iterator2 first2, Iterator2 last2) |
| Spearman's rank correlation coefficient. | |
| template<typename Iterator1 , typename Iterator2 , typename Projection1 , typename Projection2 > | |
| double | statcpp::spearman_correlation (Iterator1 first1, Iterator1 last1, Iterator2 first2, Iterator2 last2, Projection1 proj1, Projection2 proj2) |
| Spearman's rank correlation coefficient (projection version) | |
| template<typename Iterator1 , typename Iterator2 > | |
| double | statcpp::kendall_tau (Iterator1 first1, Iterator1 last1, Iterator2 first2, Iterator2 last2) |
| Kendall's rank correlation coefficient (tau-b) | |
| template<typename Iterator1 , typename Iterator2 , typename Projection1 , typename Projection2 > | |
| double | statcpp::kendall_tau (Iterator1 first1, Iterator1 last1, Iterator2 first2, Iterator2 last2, Projection1 proj1, Projection2 proj2) |
| Kendall's rank correlation coefficient (projection version) | |
| template<typename Iterator1 , typename Iterator2 , typename WeightIterator > | |
| double | statcpp::weighted_covariance (Iterator1 first1, Iterator1 last1, Iterator2 first2, Iterator2 last2, WeightIterator weight_first) |
| Weighted covariance. | |
| template<typename Iterator1 , typename Iterator2 , typename WeightIterator , typename Projection1 , typename Projection2 > | |
| double | statcpp::weighted_covariance (Iterator1 first1, Iterator1 last1, Iterator2 first2, Iterator2 last2, WeightIterator weight_first, Projection1 proj1, Projection2 proj2) |
| Weighted covariance (projection version) | |
Correlation and covariance computation functions.
Provides functions to measure relationships between variables including covariance, Pearson correlation coefficient, Spearman's rank correlation coefficient, and Kendall's rank correlation coefficient. Uses iterator-based interface compatible with various containers.
Definition in file correlation_covariance.hpp.
1.9.8