Class: Quant::Statistics::Correlation

Inherits:
Object
  • Object
show all
Defined in:
lib/quant/statistics/correlation.rb

Instance Attribute Summary collapse

Instance Method Summary collapse

Constructor Details

#initialize ⇒ Correlation

Returns a new instance of Correlation.



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# File 'lib/quant/statistics/correlation.rb', line 6

def initialize
  @length = 0.0
  @sx = 0.0
  @sy = 0.0
  @sxx = 0.0
  @sxy = 0.0
  @syy = 0.0
end

Instance Attribute Details

#length ⇒ Object

Returns the value of attribute length.



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# File 'lib/quant/statistics/correlation.rb', line 4

def length
  @length
end

#sx ⇒ Object

Returns the value of attribute sx.



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# File 'lib/quant/statistics/correlation.rb', line 4

def sx
  @sx
end

#sxx ⇒ Object

Returns the value of attribute sxx.



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# File 'lib/quant/statistics/correlation.rb', line 4

def sxx
  @sxx
end

#sxy ⇒ Object

Returns the value of attribute sxy.



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# File 'lib/quant/statistics/correlation.rb', line 4

def sxy
  @sxy
end

#sy ⇒ Object

Returns the value of attribute sy.



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# File 'lib/quant/statistics/correlation.rb', line 4

def sy
  @sy
end

#syy ⇒ Object

Returns the value of attribute syy.



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# File 'lib/quant/statistics/correlation.rb', line 4

def syy
  @syy
end

Instance Method Details

#add(x, y) ⇒ Object 



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# File 'lib/quant/statistics/correlation.rb', line 15

def add(x, y)
  @length += 1
  @sx += x
  @sy += y
  @sxx += x * x
  @sxy += x * y
  @syy += y * y
end

#coefficient ⇒ Object 



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# File 'lib/quant/statistics/correlation.rb', line 29

def coefficient
  (length * sxy - sx * sy) / Math.sqrt(devisor)
rescue Math::DomainError
  0.0
end

#devisor ⇒ Object 



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# File 'lib/quant/statistics/correlation.rb', line 24

def devisor
  value = (length * sxx - sx**2) * (length * syy - sy**2)
  value.zero? ? 1.0 : value
end