[Quantproject-developers] QuantProject/b1_ADT/Statistics BasicFunctions.cs,1.1,1.2

[Marco M. <mi...@us...>]

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Statistics
In directory sc8-pr-cvs1.sourceforge.net:/tmp/cvs-serv28233/b1_ADT/Statistics

Modified Files:
	BasicFunctions.cs 
Log Message:
Added new static functions to compute the PearsonCorrelationCoefficient (r).

Index: BasicFunctions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Statistics/BasicFunctions.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** BasicFunctions.cs	17 Dec 2003 19:34:56 -0000	1.1
--- BasicFunctions.cs	2 Aug 2004 23:20:26 -0000	1.2
***************
*** 66,69 ****
--- 66,102 ----
  			return	System.Math.Sqrt(BasicFunctions.Variance(data));
  		}
+ 
+     static public double PearsonCorrelationCoefficient( double[] firstDataVariable,
+                                                         double[] secondDataVariable ) 
+     {
+       BasicFunctions.checkLengthOfDataVariables(firstDataVariable, secondDataVariable);
+       double simpleAvgOfProduct = BasicFunctions.SimpleAverageOfProduct(firstDataVariable, secondDataVariable);
+       double productOfSimpleAvgs = BasicFunctions.SimpleAverage(firstDataVariable) * 
+                                           BasicFunctions.SimpleAverage(secondDataVariable);
+       double stdDevOfFirst = BasicFunctions.StdDev(firstDataVariable);
+       double stdDevOfSecond = BasicFunctions.StdDev(secondDataVariable);
+       
+       return	(simpleAvgOfProduct - productOfSimpleAvgs)/(stdDevOfFirst*stdDevOfSecond);
+     }
+ 
+     static public double SimpleAverageOfProduct( double[] firstDataVariable,
+                                                   double[] secondDataVariable ) 
+     {
+       BasicFunctions.checkLengthOfDataVariables(firstDataVariable, secondDataVariable);
+       double[] productDataVariable = new double[firstDataVariable.Length];
+       
+       for( int i = 0; i < firstDataVariable.Length ; i ++ ) 
+       {
+         productDataVariable[i]= firstDataVariable[i]*secondDataVariable[i];
+       }
+ 
+       return	BasicFunctions.SimpleAverage(productDataVariable);
+     }
+     static private void checkLengthOfDataVariables(double[] firstDataVariable,
+                                                     double[] secondDataVariable)
+     {
+       if(firstDataVariable.Length !=secondDataVariable.Length)
+         throw new Exception("The two variables haven't the same length!");
+     }
  	}	
  }