From 0a70ccca4880fbcd088b905e29a19a8d181a219f Mon Sep 17 00:00:00 2001
From: Michael Milton <ttmigueltt@gmail.com>
Date: Wed, 4 Aug 2021 00:02:53 +1000
Subject: [PATCH 1/4] Define and implement a cov_to_corr() method in the
CorrelationExt trait
---
src/correlation.rs | 87 +++++++++++++++++++++++++++++++++++++++++++++-
1 file changed, 86 insertions(+), 1 deletion(-)
diff --git a/src/correlation.rs b/src/correlation.rs
index 5ae194b..9592f55 100644
--- a/src/correlation.rs
+++ b/src/correlation.rs
@@ -1,7 +1,9 @@
use crate::errors::EmptyInput;
use ndarray::prelude::*;
-use ndarray::Data;
+use ndarray::{Data, ShapeError};
use num_traits::{Float, FromPrimitive};
+use itertools::Itertools;
+use std::error::Error;
/// Extension trait for `ArrayBase` providing functions
/// to compute different correlation measures.
@@ -123,6 +125,22 @@ where
A: Float + FromPrimitive;
private_decl! {}
+
+ /// Given that self is a covariance matrix, returns the appropriate correlation matrix
+ ///
+ /// # Example
+ /// ```
+ /// use::ndarray::array;
+ /// use ndarray_stats::CorrelationExt;
+ ///
+ /// let a = array![[1., 3., 5.],
+ /// [2., 4., 6.]];
+ /// let covariance = a.cov(1.).unwrap();
+ /// let corr = a.pearson_correlation().unwrap();
+ /// assert_eq!(covariance.cov_to_corr().unwrap(), corr);
+ /// ```
+ fn cov_to_corr(&self) -> Result<Array2<A>, Box<dyn Error>>
+ where A: Float + FromPrimitive;
}
impl<A: 'static, S> CorrelationExt<A, S> for ArrayBase<S, Ix2>
@@ -179,6 +197,27 @@ where
}
private_impl! {}
+
+ fn cov_to_corr<'a>(&self) -> Result<Array2<A>, Box<dyn Error>>
+ where A: Float + FromPrimitive
+ {
+ if !self.is_square() {
+ return Err("A covariance matrix must be square".into());
+ }
+
+ let vals = self
+ .indexed_iter()
+ .map(|((x, y), v)| {
+ // rho_ij = sigma_ij / sqrt(sigma_ii * sigma_jj)
+ *v / (self[[x, x]] * self[[y, y]]).powf(A::from_f64(0.5).unwrap())
+ })
+ .collect_vec();
+
+ match Array2::from_shape_vec(self.raw_dim(), vals){
+ Ok(x) => Ok(x),
+ Err(e) => Err(Box::new(e))
+ }
+ }
}
#[cfg(test)]
@@ -274,6 +313,7 @@ mod cov_tests {
assert_abs_diff_eq!(a.cov(1.).unwrap(), &numpy_covariance, epsilon = 1e-8);
}
+
#[test]
#[should_panic]
// We lose precision, hence the failing assert
@@ -367,3 +407,48 @@ mod pearson_correlation_tests {
);
}
}
+
+#[cfg(test)]
+mod cov_to_corr_tests{
+ use ndarray::array;
+ use super::*;
+
+ #[test]
+ fn test_cov_2_corr_known(){
+ // Very basic maths that can be done in your head
+ let cov = array![
+ [ 4., 1. ],
+ [ 3., 4. ],
+ ];
+ assert_eq!(cov.cov_to_corr().unwrap(), array![
+ [1., 0.25],
+ [0.75, 1.]
+ ])
+ }
+
+ #[test]
+ fn test_cov_2_corr_failure(){
+ // A 1D array can't be a covariance matrix
+ let cov = array![
+ [ 4., 1. ],
+ ];
+ cov.cov_to_corr().unwrap_err();
+ }
+
+ #[test]
+ fn test_cov_2_corr_random(){
+ let a = array![
+ [0.72009497, 0.12568055, 0.55705966, 0.5959984, 0.69471457],
+ [0.56717131, 0.47619486, 0.21526298, 0.88915366, 0.91971245],
+ [0.59044195, 0.10720363, 0.76573717, 0.54693675, 0.95923036],
+ [0.24102952, 0.131347, 0.11118028, 0.21451351, 0.30515539],
+ [0.26952473, 0.93079841, 0.8080893, 0.42814155, 0.24642258]
+ ];
+
+ // Calculating cov, and then corr should always be equivalent to calculating corr directly
+ let cov = a.cov(1.).unwrap();
+ let corr = a.pearson_correlation().unwrap();
+ let corr_2 = cov.cov_to_corr().unwrap();
+ assert!(corr.abs_diff_eq(&corr_2, 0.001));
+ }
+}
\ No newline at end of file
From 3a3778e107ed588489605f3e84583b8d660ae9a6 Mon Sep 17 00:00:00 2001
From: Michael Milton <ttmigueltt@gmail.com>
Date: Wed, 4 Aug 2021 00:04:45 +1000
Subject: [PATCH 2/4] Fix cargo check
---
src/correlation.rs | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
diff --git a/src/correlation.rs b/src/correlation.rs
index 9592f55..b330dd2 100644
--- a/src/correlation.rs
+++ b/src/correlation.rs
@@ -1,6 +1,6 @@
use crate::errors::EmptyInput;
use ndarray::prelude::*;
-use ndarray::{Data, ShapeError};
+use ndarray::{Data};
use num_traits::{Float, FromPrimitive};
use itertools::Itertools;
use std::error::Error;
From b3f11ac9fd19e4b11b01f5b269c419bd96860eba Mon Sep 17 00:00:00 2001
From: Michael Milton <ttmigueltt@gmail.com>
Date: Wed, 4 Aug 2021 00:05:40 +1000
Subject: [PATCH 3/4] rustfmt
---
src/correlation.rs | 41 +++++++++++++++++------------------------
1 file changed, 17 insertions(+), 24 deletions(-)
diff --git a/src/correlation.rs b/src/correlation.rs
index b330dd2..5ac1ae8 100644
--- a/src/correlation.rs
+++ b/src/correlation.rs
@@ -1,8 +1,8 @@
use crate::errors::EmptyInput;
+use itertools::Itertools;
use ndarray::prelude::*;
-use ndarray::{Data};
+use ndarray::Data;
use num_traits::{Float, FromPrimitive};
-use itertools::Itertools;
use std::error::Error;
/// Extension trait for `ArrayBase` providing functions
@@ -140,7 +140,8 @@ where
/// assert_eq!(covariance.cov_to_corr().unwrap(), corr);
/// ```
fn cov_to_corr(&self) -> Result<Array2<A>, Box<dyn Error>>
- where A: Float + FromPrimitive;
+ where
+ A: Float + FromPrimitive;
}
impl<A: 'static, S> CorrelationExt<A, S> for ArrayBase<S, Ix2>
@@ -199,7 +200,8 @@ where
private_impl! {}
fn cov_to_corr<'a>(&self) -> Result<Array2<A>, Box<dyn Error>>
- where A: Float + FromPrimitive
+ where
+ A: Float + FromPrimitive,
{
if !self.is_square() {
return Err("A covariance matrix must be square".into());
@@ -213,9 +215,9 @@ where
})
.collect_vec();
- match Array2::from_shape_vec(self.raw_dim(), vals){
+ match Array2::from_shape_vec(self.raw_dim(), vals) {
Ok(x) => Ok(x),
- Err(e) => Err(Box::new(e))
+ Err(e) => Err(Box::new(e)),
}
}
}
@@ -313,7 +315,6 @@ mod cov_tests {
assert_abs_diff_eq!(a.cov(1.).unwrap(), &numpy_covariance, epsilon = 1e-8);
}
-
#[test]
#[should_panic]
// We lose precision, hence the failing assert
@@ -409,34 +410,26 @@ mod pearson_correlation_tests {
}
#[cfg(test)]
-mod cov_to_corr_tests{
- use ndarray::array;
+mod cov_to_corr_tests {
use super::*;
+ use ndarray::array;
#[test]
- fn test_cov_2_corr_known(){
+ fn test_cov_2_corr_known() {
// Very basic maths that can be done in your head
- let cov = array![
- [ 4., 1. ],
- [ 3., 4. ],
- ];
- assert_eq!(cov.cov_to_corr().unwrap(), array![
- [1., 0.25],
- [0.75, 1.]
- ])
+ let cov = array![[4., 1.], [3., 4.],];
+ assert_eq!(cov.cov_to_corr().unwrap(), array![[1., 0.25], [0.75, 1.]])
}
#[test]
- fn test_cov_2_corr_failure(){
+ fn test_cov_2_corr_failure() {
// A 1D array can't be a covariance matrix
- let cov = array![
- [ 4., 1. ],
- ];
+ let cov = array![[4., 1.],];
cov.cov_to_corr().unwrap_err();
}
#[test]
- fn test_cov_2_corr_random(){
+ fn test_cov_2_corr_random() {
let a = array![
[0.72009497, 0.12568055, 0.55705966, 0.5959984, 0.69471457],
[0.56717131, 0.47619486, 0.21526298, 0.88915366, 0.91971245],
@@ -451,4 +444,4 @@ mod cov_to_corr_tests{
let corr_2 = cov.cov_to_corr().unwrap();
assert!(corr.abs_diff_eq(&corr_2, 0.001));
}
-}
\ No newline at end of file
+}
From 43cf9806427fecbd03c11ec7b9c5200631468ad7 Mon Sep 17 00:00:00 2001
From: Michael Milton <ttmigueltt@gmail.com>
Date: Wed, 4 Aug 2021 00:07:35 +1000
Subject: [PATCH 4/4] Don't use itertools
---
src/correlation.rs | 3 +--
1 file changed, 1 insertion(+), 2 deletions(-)
diff --git a/src/correlation.rs b/src/correlation.rs
index 5ac1ae8..9ab8e5e 100644
--- a/src/correlation.rs
+++ b/src/correlation.rs
@@ -1,5 +1,4 @@
use crate::errors::EmptyInput;
-use itertools::Itertools;
use ndarray::prelude::*;
use ndarray::Data;
use num_traits::{Float, FromPrimitive};
@@ -213,7 +212,7 @@ where
// rho_ij = sigma_ij / sqrt(sigma_ii * sigma_jj)
*v / (self[[x, x]] * self[[y, y]]).powf(A::from_f64(0.5).unwrap())
})
- .collect_vec();
+ .collect();
match Array2::from_shape_vec(self.raw_dim(), vals) {
Ok(x) => Ok(x),