Add a useful package (from Source forge) for octave

[CreaPhase.git] / octave_packages / nan-2.5.5 / cor.m

diff --git a/octave_packages/nan-2.5.5/cor.m b/octave_packages/nan-2.5.5/cor.m
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+++ b/octave_packages/nan-2.5.5/cor.m
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+function [r2] = cor(X,Y);
+% COR calculates the correlation matrix
+% X and Y can contain missing values encoded with NaN.
+% NaN's are skipped, NaN do not result in a NaN output. 
+% (Its assumed that the occurence of NaN's is uncorrelated) 
+% The output gives NaN only if there are insufficient input data
+%
+% COR(X);
+%      calculates the (auto-)correlation matrix of X
+% COR(X,Y);
+%      calculates the crosscorrelation between X and Y
+%
+% c = COR(...);
+%      c is the correlation matrix
+%
+% W    weights to compute weighted mean (default: [])
+%      if W=[], all weights are 1. 
+%      number of elements in W must match size(x,DIM) 
+
+% NOTE: Under certain circumstances (Missing values and small number of samples) 
+%   abs(COR) can be larger than 1.  
+%   If you need abs(COR)<=1, use CORRCOEF. CORRCOEF garantees abs(COR)<=1. 
+%
+% see also: SUMSKIPNAN, COVM, COV, CORRCOEF
+%
+% REFERENCES:
+% http://mathworld.wolfram.com/CorrelationCoefficient.html
+
+
+%       $Id: cor.m 8223 2011-04-20 09:16:06Z schloegl $
+%      Copyright (C) 2000-2004,2010 by Alois Schloegl <alois.schloegl@gmail.com>       
+%       This function is part of the NaN-toolbox
+%       http://pub.ist.ac.at/~schloegl/matlab/NaN/
+
+
+%    This program is free software; you can redistribute it and/or modify
+%    it under the terms of the GNU General Public License as published by
+%    the Free Software Foundation; either version 2 of the License, or
+%    (at your option) any later version.
+%
+%    This program is distributed in the hope that it will be useful,
+%    but WITHOUT ANY WARRANTY; without even the implied warranty of
+%    MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+%    GNU General Public License for more details.
+%
+%    You should have received a copy of the GNU General Public License
+%    along with this program; If not, see <http://www.gnu.org/licenses/>.
+
+
+if nargin==1
+        Y = [];
+elseif nargin==0
+        fprintf(2,'Error COR: Missing argument(s)\n');
+end;        
+
+[r1,c1]=size(X);
+if (c1>r1),
+        fprintf(2,'Warning COR: Covariance is ill-defined, because of too less observations (rows).\n');
+end;
+
+[r1,c1]=size(X);
+if ~isempty(Y)
+        [r2,c2]=size(Y);
+        if r1~=r2,
+                fprintf(2,'Error COR: X and Y must have the same number of observations (rows).\n');
+                return;
+        end;
+else
+        [r2,c2]=size(X);
+end;
+
+if (c1>r1) || (c2>r2),
+        fprintf(2,'Warning COR: Covariance is ill-defined, because of too less observations (rows).\n');
+end;
+
+if ~isempty(Y),
+        [S1,N1,SSQ1] = sumskipnan(X,1);
+        [S2,N2,SSQ2] = sumskipnan(Y,1);
+                
+        NN = double(~isnan(X)')*double(~isnan(Y));
+        X(isnan(X)) = 0; % skip NaN's
+       Y(isnan(Y)) = 0; % skip NaN's
+        CC = X'*Y;
+
+       M1 = S1./N1;
+       M2 = S2./N2;
+       cc = CC./NN - M1'*M2;
+        r2 = cc./sqrt((SSQ1./N1-M1.*M1)'*(SSQ2./N2-M2.*M2));
+               
+else        
+        [S,N,SSQ] = sumskipnan(X,1);
+
+        NN = double(~isnan(X)')*double(~isnan(X));
+        X(isnan(X)) = 0; % skip NaN's
+        CC = X'*X;
+                
+       M  = S./N;
+       cc = CC./NN - M'*M;
+        v  = (SSQ./N- M.*M);  %max(N-1,0);
+       r2 = cc./sqrt(v'*v);
+end;