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Compute the covariance matrix.
If each row of x and y is an observation, and each column is
a variable, then the (i, j)-th entry of
cov (x, y) is the covariance between the i-th
variable in x and the j-th variable in y.
cov (x) = 1/N-1 * SUM_i (x(i) - mean(x)) * (y(i) - mean(y))
If called with one argument, compute cov (x, x), the
covariance between the columns of x.
The argument opt determines the type of normalization to use. Valid values are
normalize with N-1, provides the best unbiased estimator of the covariance [default]
normalize with N, this provides the second moment around the mean
Compatibility Note:: Octave always treats rows of x and y
as multivariate random variables.
For two inputs, however, MATLAB treats x and y as two
univariate distributions regardless of their shapes, and will calculate
cov ([x(:), y(:)]) whenever the number of elements in
x and y are equal. This will result in a 2x2 matrix.
Code relying on MATLAB’s definition will need to be changed when
running in Octave.
See also: corr.
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.
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.
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), and is asymptotically
normally distributed.
spearman (x) is equivalent to
spearman (x, x).
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).
Perform ordinal logistic regression.
Suppose y takes values in k ordered categories, and let
gamma_i (x) be the cumulative probability that y
falls in one of the first i categories given the covariate
x. Then
[theta, beta] = logistic_regression (y, x)
fits the model
logit (gamma_i (x)) = theta_i - beta' * x, i = 1 … k-1
The number of ordinal categories, k, is taken to be the number
of distinct values of round (y). If k equals 2,
y is binary and the model is ordinary logistic regression. The
matrix x is assumed to have full column rank.
Given y only, theta = logistic_regression (y)
fits the model with baseline logit odds only.
The full form is
[theta, beta, dev, dl, d2l, gamma] = logistic_regression (y, x, print, theta, beta)
in which all output arguments and all input arguments except y are optional.
Setting print to 1 requests summary information about the fitted model to be displayed. Setting print to 2 requests information about convergence at each iteration. Other values request no information to be displayed. The input arguments theta and beta give initial estimates for theta and beta.
The returned value dev holds minus twice the log-likelihood.
The returned values dl and d2l are the vector of first and the matrix of second derivatives of the log-likelihood with respect to theta and beta.
p holds estimates for the conditional distribution of y given x.
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