[Quantproject-developers] QuantProject/b1_ADT/Statistics BasicFunctions.cs, 1.6, 1.7

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

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Statistics
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3845/b1_ADT/Statistics

Modified Files:
	BasicFunctions.cs 
Log Message:
Pearson correlation coefficient is computed within a unique FOR loop (and it should be faster, so)

Index: BasicFunctions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Statistics/BasicFunctions.cs,v
retrieving revision 1.6
retrieving revision 1.7
diff -C2 -d -r1.6 -r1.7
*** BasicFunctions.cs	3 Sep 2005 23:53:17 -0000	1.6
--- BasicFunctions.cs	2 Jul 2006 19:29:52 -0000	1.7
***************
*** 172,195 ****
                                                          double[] secondDataVariable ) 
      {
        BasicFunctions.checkLengthOfDataVariables(firstDataVariable, secondDataVariable);
!       
!       double stdDevOfFirst = BasicFunctions.StdDev(firstDataVariable);
!       double stdDevOfSecond = BasicFunctions.StdDev(secondDataVariable);
!       double coVariance = BasicFunctions.CoVariance(firstDataVariable,
!                                                     secondDataVariable);
!       
!       return	(coVariance)/(stdDevOfFirst*stdDevOfSecond);
      }
      static public double PearsonCorrelationCoefficient( float[] firstDataVariable,
                                                          float[] secondDataVariable ) 
      {
        BasicFunctions.checkLengthOfDataVariables(firstDataVariable, secondDataVariable);
        
!       double stdDevOfFirst = BasicFunctions.StdDev(firstDataVariable);
!       double stdDevOfSecond = BasicFunctions.StdDev(secondDataVariable);
!       double coVariance = BasicFunctions.CoVariance(firstDataVariable,
!                                                     secondDataVariable);
!       
!       return	(coVariance)/(stdDevOfFirst*stdDevOfSecond);
      }
  
--- 172,229 ----
                                                          double[] secondDataVariable ) 
      {
+ //      BasicFunctions.checkLengthOfDataVariables(firstDataVariable, secondDataVariable);
+ //      
+ //      double stdDevOfFirst = BasicFunctions.StdDev(firstDataVariable);
+ //      double stdDevOfSecond = BasicFunctions.StdDev(secondDataVariable);
+ //      double coVariance = BasicFunctions.CoVariance(firstDataVariable,
+ //                                                    secondDataVariable);
+ //      
+ //      return	(coVariance)/(stdDevOfFirst*stdDevOfSecond);
        BasicFunctions.checkLengthOfDataVariables(firstDataVariable, secondDataVariable);
!       int n = firstDataVariable.Length;
!       double sumOfProduct = 0.0, sumOfFirst = 0.0, sumOfSecond = 0.0,
!         sumOfSquaredFirst = 0.0, sumOfSquaredSecond = 0.0;
!       for(int i = 0; i < n; i++)
!       {
!         sumOfFirst += firstDataVariable[i];
!         sumOfSecond += secondDataVariable[i];
!         sumOfProduct += firstDataVariable[i]*secondDataVariable[i];
!         sumOfSquaredFirst += firstDataVariable[i]*firstDataVariable[i];
!         sumOfSquaredSecond += secondDataVariable[i]*secondDataVariable[i];
!       }
!       return (n*sumOfProduct - sumOfFirst*sumOfSecond)/
!         Math.Sqrt( (n*sumOfSquaredFirst - sumOfFirst*sumOfFirst)*
!         (n*sumOfSquaredSecond - sumOfSecond*sumOfSecond) ); 
! 
      }
      static public double PearsonCorrelationCoefficient( float[] firstDataVariable,
                                                          float[] secondDataVariable ) 
      {
+ //  OLD Computation way
+ //      BasicFunctions.checkLengthOfDataVariables(firstDataVariable, secondDataVariable);
+ //      
+ //      double stdDevOfFirst = BasicFunctions.StdDev(firstDataVariable);
+ //      double stdDevOfSecond = BasicFunctions.StdDev(secondDataVariable);
+ //      double coVariance = BasicFunctions.CoVariance(firstDataVariable,
+ //                                                    secondDataVariable);
+ //      
+ //      return	(coVariance)/(stdDevOfFirst*stdDevOfSecond);
        BasicFunctions.checkLengthOfDataVariables(firstDataVariable, secondDataVariable);
+       int n = firstDataVariable.Length;
+       double sumOfProduct = 0.0, sumOfFirst = 0.0, sumOfSecond = 0.0,
+              sumOfSquaredFirst = 0.0, sumOfSquaredSecond = 0.0;
+       for(int i = 0; i < n; i++)
+       {
+         sumOfFirst += firstDataVariable[i];
+         sumOfSecond += secondDataVariable[i];
+         sumOfProduct += firstDataVariable[i]*secondDataVariable[i];
+         sumOfSquaredFirst += firstDataVariable[i]*firstDataVariable[i];
+         sumOfSquaredSecond += secondDataVariable[i]*secondDataVariable[i];
+       }
+       return (n*sumOfProduct - sumOfFirst*sumOfSecond)/
+               Math.Sqrt( (n*sumOfSquaredFirst - sumOfFirst*sumOfFirst)*
+                          (n*sumOfSquaredSecond - sumOfSecond*sumOfSecond) );
        
! 
      }