Pearson correlation.

Author: ncruces

ext/stats/stats.go

@@ -7,6 +7,7 @@
 //   - var_samp: sample variance
 //   - covar_pop: population covariance
 //   - covar_samp: sample covariance
+//   - corr: correlation coefficient
 //
 // See: [ANSI SQL Aggregate Functions]
 //
@@ -24,13 +25,15 @@ func Register(db *sqlite3.Conn) {
 	db.CreateWindowFunction("stddev_samp", 1, flags, newVariance(stddev_samp))
 	db.CreateWindowFunction("covar_pop", 2, flags, newCovariance(var_pop))
 	db.CreateWindowFunction("covar_samp", 2, flags, newCovariance(var_samp))
+	db.CreateWindowFunction("corr", 2, flags, newCovariance(corr))
 }
 
 const (
 	var_pop = iota
 	var_samp
 	stddev_pop
 	stddev_samp
+	corr
 )
 
 func newVariance(kind int) func() sqlite3.AggregateFunction {
@@ -85,6 +88,8 @@ func (fn *covariance) Value(ctx sqlite3.Context) {
 		r = fn.covar_pop()
 	case var_samp:
 		r = fn.covar_samp()
+	case corr:
+		r = fn.correlation()
 	}
 	ctx.ResultFloat(r)
 }

ext/stats/stats_test.go

@@ -102,17 +102,20 @@ func TestRegister_covariance(t *testing.T) {
 	}
 
 	stmt, _, err := db.Prepare(`SELECT
-			covar_samp(x, y), covar_pop(x, y) FROM data`)
+		corr(x, y), covar_samp(x, y), covar_pop(x, y) FROM data`)
 	if err != nil {
 		t.Fatal(err)
 	}
 	defer stmt.Close()
 
 	if stmt.Step() {
-		if got := stmt.ColumnFloat(0); got != 21.25 {
+		if got := stmt.ColumnFloat(0); got != 0.9881049293224639 {
+			t.Errorf("got %v, want 0.9881049293224639", got)
+		}
+		if got := stmt.ColumnFloat(1); got != 21.25 {
 			t.Errorf("got %v, want 21.25", got)
 		}
-		if got := stmt.ColumnFloat(1); got != 17 {
+		if got := stmt.ColumnFloat(2); got != 17 {
 			t.Errorf("got %v, want 17", got)
 		}
 	}

ext/stats/welford.go

@@ -48,36 +48,48 @@ func (w *welford) dequeue(x float64) {
 }
 
 type welford2 struct {
-	x, y, c kahan
-	n       uint64
+	m1x, m2x kahan
+	m1y, m2y kahan
+	cov      kahan
+	n        uint64
 }
 
 func (w welford2) covar_pop() float64 {
-	return w.c.hi / float64(w.n)
+	return w.cov.hi / float64(w.n)
 }
 
 func (w welford2) covar_samp() float64 {
-	return w.c.hi / float64(w.n-1) // Bessel's correction
+	return w.cov.hi / float64(w.n-1) // Bessel's correction
+}
+
+func (w welford2) correlation() float64 {
+	return w.cov.hi / math.Sqrt(w.m2x.hi*w.m2y.hi)
 }
 
 func (w *welford2) enqueue(x, y float64) {
 	w.n++
-	dx := x - w.x.hi - w.x.lo
-	dy := y - w.y.hi - w.y.lo
-	w.x.add(dx / float64(w.n))
-	w.y.add(dy / float64(w.n))
-	d2 := y - w.y.hi - w.y.lo
-	w.c.add(dx * d2)
+	d1x := x - w.m1x.hi - w.m1x.lo
+	d1y := y - w.m1y.hi - w.m1y.lo
+	w.m1x.add(d1x / float64(w.n))
+	w.m1y.add(d1y / float64(w.n))
+	d2x := x - w.m1x.hi - w.m1x.lo
+	d2y := y - w.m1y.hi - w.m1y.lo
+	w.m2x.add(d1x * d2x)
+	w.m2y.add(d1y * d2y)
+	w.cov.add(d1x * d2y)
 }
 
 func (w *welford2) dequeue(x, y float64) {
 	w.n--
-	dx := x - w.x.hi - w.x.lo
-	dy := y - w.y.hi - w.y.lo
-	w.x.sub(dx / float64(w.n))
-	w.y.sub(dy / float64(w.n))
-	d2 := y - w.y.hi - w.y.lo
-	w.c.sub(dx * d2)
+	d1x := x - w.m1x.hi - w.m1x.lo
+	d1y := y - w.m1y.hi - w.m1y.lo
+	w.m1x.sub(d1x / float64(w.n))
+	w.m1y.sub(d1y / float64(w.n))
+	d2x := x - w.m1x.hi - w.m1x.lo
+	d2y := y - w.m1y.hi - w.m1y.lo
+	w.m2x.sub(d1x * d2x)
+	w.m2y.sub(d1y * d2y)
+	w.cov.sub(d1x * d2y)
 }
 
 type kahan struct{ hi, lo float64 }

ext/stats/welford_test.go

@@ -32,9 +32,7 @@ func Test_welford(t *testing.T) {
 	s2.enqueue(7)
 	s2.enqueue(13)
 	s2.enqueue(16)
-	s1.m1.lo, s2.m1.lo = 0, 0
-	s1.m2.lo, s2.m2.lo = 0, 0
-	if s1 != s2 {
+	if s1.var_pop() != s2.var_pop() {
 		t.Errorf("got %v, want %v", s1, s2)
 	}
 }
@@ -60,10 +58,18 @@ func Test_covar(t *testing.T) {
 	c2.enqueue(2, 60)
 	c2.enqueue(7, 90)
 	c2.enqueue(4, 75)
-	c1.x.lo, c2.x.lo = 0, 0
-	c1.y.lo, c2.y.lo = 0, 0
-	c1.c.lo, c2.c.lo = 0, 0
-	if c1 != c2 {
-		t.Errorf("got %v, want %v", c1, c2)
+	if c1.covar_pop() != c2.covar_pop() {
+		t.Errorf("got %v, want %v", c1.covar_pop(), c2.covar_pop())
+	}
+}
+
+func Test_correlation(t *testing.T) {
+	var c welford2
+	c.enqueue(1, 3)
+	c.enqueue(2, 2)
+	c.enqueue(3, 1)
+
+	if got := c.correlation(); got != -1 {
+		t.Errorf("got %v, want -1", got)
 	}
 }