Correlation and Regression Analysis (GNU Octave (version 9.1.0))

### 26.4 Correlation and Regression Analysis ¶

: `c =` cov `(x)` ¶
: `c =` cov `(x, y)` ¶
: `c =` cov `(…, opt)` ¶
: `c =` cov `(…, nanflag)` ¶

  Compute the covariance matrix.

  The covariance between two variable vectors A and B is calculated as:

      cov (a,b) = 1/(N-1) * SUM_i (a(i) - mean (a)) * (b(i) - mean (b))

  where N is the length of the vectors a and b.

  If called with one argument, compute `cov (x, x)`. If x is a vector, this is the scalar variance of x. If x is a matrix, each row of x is treated as an observation, and each column as a variable, and the (i, j)-th entry of `cov (x)` is the covariance between the i-th and j-th columns in x. If x has dimensions n x m, the output c will be a m x m square covariance matrix.

  If called with two arguments, compute `cov (x, y)`, the covariance between two random variables x and y. x and y must have the same number of elements, and will be treated as vectors with the covariance computed as `cov (x(:), y(:))`. The output will be a 2 x 2 covariance matrix.

  The optional argument opt determines the type of normalization to use. Valid values are

  0 [default]:

    Normalize with N-1. This provides the best unbiased estimator of the covariance.

  1:

    Normalize with N. This provides the second moment around the mean. opt is set to 1 for N = 1.

  The optional argument nanflag must appear last in the argument list and controls how NaN values are handled by `cov`. The three valid values are:

  includenan [default]:

    Leave NaN values in x and y. Output will follow the normal rules for handling NaN values in arithmetic operations.

  omitrows:

    Rows containing NaN values are trimmed from both x and y prior to calculating the covariance. A NaN in one variable will remove that row from both x and y.

  partialrows:

    Rows containing NaN values are ignored from both x and y independently for each i-th and j-th covariance calculation. This may result in a different number of observations, N, being used to calculated each element of the covariance matrix.

  Compatibility Note: Previous versions of `cov` treated rows x and y as multivariate random variables. This version attempts to maintain full compatibility with MATLAB by treating x and y as two univariate distributions regardless of shape, resulting in a 2x2 output matrix. Code relying on Octave’s previous definition will need to be modified when running this newer version of `cov`. The previous behavior can be obtained by using the NaN package’s `covm` function as `covm (x, y, "D")`.

  See also: corr.

: `r =` corr `(x)` ¶
: `r =` corr `(x, y)` ¶

  Compute matrix of correlation coefficients.

  If each row of x and y is an observation and each column is a variable, then the (i, j)-th entry of `corr (x, y)` is the correlation between the i-th variable in x and the j-th variable in y. x and y must have the same number of rows (observations).

      corr (x,y) = cov (x,y) / (std (x) * std (y))

  If called with one argument, compute `corr (x, x)`, the correlation between the columns of x.

  See also: cov.

: `r =` corrcoef `(x)` ¶
: `r =` corrcoef `(x, y)` ¶
: `r =` corrcoef `(…, param, value, …)` ¶
: `[r, p] =` corrcoef `(…)` ¶
: `[r, p, lci, hci] =` corrcoef `(…)` ¶

  Compute a matrix of correlation coefficients.

  x is an array where each column contains a variable and each row is an observation.

  If a second input y (of the same size as x) is given then calculate the correlation coefficients between x and y.

  param, value are optional pairs of parameters and values which modify the calculation. Valid options are:

  `"alpha"`

    Confidence level used for the bounds of the confidence interval, lci and hci. Default is 0.05, i.e., 95% confidence interval.

  `"rows"`

    Determine processing of NaN values. Acceptable values are `"all"`, `"complete"`, and `"pairwise"`. Default is `"all"`. With `"complete"`, only the rows without NaN values are considered. With `"pairwise"`, the selection of NaN-free rows is made for each pair of variables.

  Output r is a matrix of Pearson’s product moment correlation coefficients for each pair of variables.

  Output p is a matrix of pair-wise p-values testing for the null hypothesis of a correlation coefficient of zero.

  Outputs lci and hci are matrices containing, respectively, the lower and higher bounds of the 95% confidence interval of each correlation coefficient.

  See also: corr, cov, std.

: `rho =` spearman `(x)` ¶
: `rho =` spearman `(x, y)` ¶

  Compute Spearman’s rank correlation coefficient rho.

  For two data vectors x and y, Spearman’s rho is the correlation coefficient of the ranks of x and y.

  If x and y are drawn from independent distributions, rho has zero mean and variance `1 / (N - 1)`, where N is the length of the x and y vectors, and is asymptotically normally distributed.

  `spearman (x)` is equivalent to `spearman (x, x)`.

  See also: ranks, kendall.

: `tau =` kendall `(x)` ¶
: `tau =` kendall `(x, y)` ¶

  Compute Kendall’s tau.

  For two data vectors x, y of common length N, Kendall’s tau is the correlation of the signs of all rank differences of x and y; i.e., if both x and y have distinct entries, then

               1
      tau = -------   SUM sign (q(i) - q(j)) * sign (r(i) - r(j))
            N (N-1)   i,j

  in which the q(i) and r(i) are the ranks of x and y, respectively.

  If x and y are drawn from independent distributions, Kendall’s tau is asymptotically normal with mean 0 and variance `(2 * (2N+5)) / (9 * N * (N-1))`.

  `kendall (x)` is equivalent to `kendall (x, x)`.

  See also: ranks, spearman.