Example usage for org.apache.commons.math3.stat.correlation PearsonsCorrelation computeCorrelationMatrix

Introduction

In this page you can find the example usage for org.apache.commons.math3.stat.correlation PearsonsCorrelation computeCorrelationMatrix.

Prototype

public RealMatrix computeCorrelationMatrix(double[][] data) 

Source Link

Document

Computes the correlation matrix for the columns of the input rectangular array.

Usage

From source file:com.mothsoft.alexis.engine.numeric.CorrelationCalculatorImpl.java

@Override
public double[][] correlate(List<DataSet> dataSets, Timestamp startDate, Timestamp endDate,
        TimeUnits granularity) {/*  ww w  .jav  a 2  s  .c  o m*/
    if (dataSets == null || dataSets.size() < 2) {
        throw new IllegalArgumentException("At least 2 data sets are required for correlation");
    }

    final Map<Long, List<Double>> orderedPoints = new TreeMap<Long, List<Double>>();

    for (int i = 0; i < dataSets.size(); i++) {
        final DataSet dataSet = dataSets.get(i);
        final List<DataSetPoint> points = this.dao.findAndAggregatePointsGroupedByUnit(dataSet, startDate,
                endDate, granularity);
        for (final DataSetPoint point : points) {
            final Long millis = point.getX().getTime();
            if (!orderedPoints.containsKey(millis)) {
                orderedPoints.put(millis, newDoubleList(dataSets.size()));
            }
            orderedPoints.get(millis).set(i, point.getY());
        }
    }

    if (orderedPoints.size() <= 1) {
        throw new IllegalArgumentException("Needed at least 2 points, found: " + orderedPoints.size());
    }

    final double[][] points = new double[orderedPoints.size()][dataSets.size()];

    int i = 0;
    for (final Map.Entry<Long, List<Double>> entry : orderedPoints.entrySet()) {
        final List<Double> values = entry.getValue();
        for (int j = 0; j < values.size(); j++) {
            points[i][j] = values.get(j);
        }
        i++;
    }

    final PearsonsCorrelation correlation = new PearsonsCorrelation();
    final RealMatrix matrix = correlation.computeCorrelationMatrix(points);
    return matrix.getData();
}

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From source file:com.mothsoft.alexis.engine.numeric.CorrelationCalculatorTest.java

@Test
public void testCommonsMathCorrelationIdentityMatrix() {
    final PearsonsCorrelation correlation = new PearsonsCorrelation();

    final double[][] xy = new double[4][2];
    xy[0][0] = 0.0;/*www . j  ava  2  s  .  co m*/
    xy[1][0] = 1.0;
    xy[2][0] = 2.3;
    xy[3][0] = 3.4;

    xy[0][1] = 0.0;
    xy[1][1] = 1.0;
    xy[2][1] = 2.3;
    xy[3][1] = 3.4;

    final RealMatrix matrix = correlation.computeCorrelationMatrix(xy);
    assertEquals(2, matrix.getColumnDimension());
    assertEquals(2, matrix.getRowDimension());
    assertEquals(1.0, matrix.getEntry(0, 1), 0.000001);
    assertEquals(1.0, matrix.getEntry(1, 0), 0.000001);
}

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