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#ifndef _theplu_yat_statistics_kendall_ |
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#define _theplu_yat_statistics_kendall_ |
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// $Id$ |
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/* |
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Copyright (C) 2011, 2012, 2021 Peter Johansson |
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This file is part of the yat library, http://dev.thep.lu.se/yat |
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|
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The yat library is free software; you can redistribute it and/or |
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modify it under the terms of the GNU General Public License as |
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published by the Free Software Foundation; either version 3 of the |
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License, or (at your option) any later version. |
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|
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The yat library is distributed in the hope that it will be useful, |
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but WITHOUT ANY WARRANTY; without even the implied warranty of |
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MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU |
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General Public License for more details. |
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|
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You should have received a copy of the GNU General Public License |
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along with yat. If not, see <http://www.gnu.org/licenses/>. |
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*/ |
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#include <cstddef> |
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|
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namespace theplu { |
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namespace yat { |
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namespace statistics { |
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|
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/** |
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\brief Kendall's tau rank coefficient |
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*/ |
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class Kendall |
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{ |
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public: |
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/** |
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\brief Constructor |
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*/ |
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Kendall(void); |
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|
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/** |
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\brief Copy constructor |
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*/ |
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Kendall(const Kendall& other); |
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|
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/** |
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\brief Move constructor |
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*/ |
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Kendall(Kendall&& other); |
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|
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/** |
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\brief Destructor |
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*/ |
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virtual ~Kendall(void); |
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|
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/** |
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\brief add pair of data |
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*/ |
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void add(double x, double y); |
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/** |
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\return Number of data points |
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*/ |
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size_t n(void) const; |
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|
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/** |
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\brief Lower one-sided p-value |
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|
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P-value is calculates in same fashion as p_right(), but |
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calculating when score from permuted data is smaller than score |
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(rather than greater). |
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|
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\see p_right() |
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*/ |
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double p_left(bool exact=false) const; |
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/** |
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\brief Upper one-sided p-value |
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If \c exact function permutaes the data and counts fraction of |
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permutations that result in a larger tau coefficient. |
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If not \c exact a Gaussian approximation by transforming the |
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score to a variable a z is approximately stardard normal, where |
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\f{eqnarray*}{ |
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z &=& \frac{n_c - n_d}{\sqrt{v}} \\ |
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v &=& (v_0-v_t-v_u)/18+v_1+v_2 \\ |
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v_0 &=& n(n-1)(2n+5) \\ |
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v_t &=& \sum_i t_i(t_i-1)(2t_i+5) \\ |
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v_u &=& \sum_j u_j(u_j-1)(2u_j+5) \\ |
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v_1 &=& \sum_i t_i(t_i-1)\sum_j u_j(u_j-1)/(2n(n-1)) \\ |
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v_2 &=& \sum_i t_i(t_i-1)(t_i-2)\sum_j u_j(u_j-1)(u_j-2) |
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\f} |
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(see function score() for explanation of variables). |
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and p-value is calculates as \f$ p = \frac{1}{\sqrt{2\pi}} |
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\int_z^{\infty} \exp(-s^2/2) ds\f$ |
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*/ |
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double p_right(bool exact=false) const; |
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/** |
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\brief Two-sided p-value |
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*/ |
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double p_value(bool exact=false) const; |
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/** |
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\brief reset |
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*/ |
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void reset(void); |
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|
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/** |
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\brief Kendall's tau |
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\f$ \tau = \frac{n_c - n_d}{\sqrt{n(n-1)/2-\sum |
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t_i(t_i-1)/2}\sqrt{n(n-1)/2-\sum u_j(u_j-1)/2}} \f$ where \f$ |
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n_c \f$ is number concordant pairs, \f$ n_d \f$ number of |
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disconcordant pairs, \f$ n(n-1)/2 \f$ total number of pairs, |
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\f$ t_i \f$ number of data points in ties group \c i, and \f$ |
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u_i \f$ number of data points in tied group \c j |
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*/ |
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double score(void) const; |
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/** |
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\brief assignment operator |
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*/ |
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Kendall& operator=(const Kendall& rhs); |
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/** |
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\brief move assignment operator |
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*/ |
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Kendall& operator=(Kendall&& rhs); |
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private: |
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class Pimpl; |
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Pimpl* pimpl_; |
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}; |
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}}} // of namespace statistics, yat, and theplu |
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#endif |