[Quantproject-developers] QuantProject/b1_ADT/Statistics BasicFunctions.cs, 1.9, 1.10

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Statistics
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv18084/b1_ADT/Statistics

Modified Files:
	BasicFunctions.cs 
Log Message:
static public double PearsonCorrelationCoefficient(
double firstMultiplier ,
float[] firstDataVariable ,
double secondMultiplier , float[] secondDataVariable ) 
has been added


Index: BasicFunctions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Statistics/BasicFunctions.cs,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** BasicFunctions.cs	24 Jun 2007 21:25:54 -0000	1.9
--- BasicFunctions.cs	27 Feb 2008 22:26:44 -0000	1.10
***************
*** 274,277 ****
--- 274,331 ----
      }
  
+ 		#region PearsonCorrelationCoefficient with multipliers
+ 		static private void checkMultiplierIsNonZero( double multiplier )
+ 		{
+ 			if ( multiplier == 0 )
+ 				throw new Exception( "A multiplier cannot be zero!" );
+ 		}
+ 		static private void pearsonCorrelationCoefficient_checkParameters(
+ 			double firstArrayMultiplier , float[] firstDataVariable,
+ 			double secondArrayMultiplier , float[] secondDataVariable )
+ 		{
+ 			BasicFunctions.checkLengthOfDataVariables(firstDataVariable, secondDataVariable);
+ 			checkMultiplierIsNonZero( firstArrayMultiplier );
+ 			checkMultiplierIsNonZero( secondArrayMultiplier );
+ 		}
+ 		/// <summary>
+ 		/// Computes the Pearson's Correlation Coefficient for two weighted arrays
+ 		/// </summary>
+ 		/// <param name="firstMultiplier">multiplies each value of the
+ 		/// first data set</param>
+ 		/// <param name="firstDataVariable">first data set</param>
+ 		/// <param name="secondMultiplier">multiplies each value of the second
+ 		/// data set</param>
+ 		/// <param name="secondDataVariable">second data set</param>
+ 		/// <returns></returns>
+ 		static public double PearsonCorrelationCoefficient(
+ 			double firstMultiplier , float[] firstDataVariable,
+ 			double secondMultiplier , float[] secondDataVariable ) 
+ 		{
+ 			pearsonCorrelationCoefficient_checkParameters(
+ 				firstMultiplier , firstDataVariable,
+ 				secondMultiplier , secondDataVariable );
+ 			int n = firstDataVariable.Length;
+ 			double sumOfProduct = 0.0, sumOfFirst = 0.0, sumOfSecond = 0.0,
+ 				sumOfSquaredFirst = 0.0, sumOfSquaredSecond = 0.0;
+ 			double currentValueFromFirstDataSet , currentValueFromSecondDataSet;
+ 			for(int i = 0; i < n; i++)
+ 			{
+ 				currentValueFromFirstDataSet = firstMultiplier * firstDataVariable[i];
+ 				currentValueFromSecondDataSet = secondMultiplier * secondDataVariable[i];
+ 				sumOfFirst += currentValueFromFirstDataSet;
+ 				sumOfSecond += currentValueFromSecondDataSet;
+ 				sumOfProduct += currentValueFromFirstDataSet * currentValueFromSecondDataSet;
+ 				sumOfSquaredFirst +=
+ 					currentValueFromFirstDataSet * currentValueFromFirstDataSet;
+ 				sumOfSquaredSecond +=
+ 					currentValueFromSecondDataSet * currentValueFromSecondDataSet;
+ 			}
+ 			return (n*sumOfProduct - sumOfFirst*sumOfSecond)/
+ 				Math.Sqrt( (n*sumOfSquaredFirst - sumOfFirst*sumOfFirst)*
+ 				(n*sumOfSquaredSecond - sumOfSecond*sumOfSecond) );
+ 		}
+ 		#endregion PearsonCorrelationCoefficient with multipliers
+ 
+ 
      static public double SimpleAverageOfProduct( double[] firstDataVariable,
                                                   double[] secondDataVariable )