CTABLES

[pspp] / src / math / correlation.c

diff --git a/src/math/correlation.c b/src/math/correlation.c
index 47762747340974f815207389fb48b71a59bf3605..bac81e4349360ef902a7e99b63768c0cafed42af 100644 (file)
--- a/src/math/correlation.c
+++ b/src/math/correlation.c
@@ -1,5 +1,5 @@
 /* PSPP - a program for statistical analysis.
-   Copyright (C) 2009 Free Software Foundation, Inc.
+   Copyright (C) 2009, 2011 Free Software Foundation, Inc.
 
    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
@@ -16,13 +16,16 @@
 
 #include <config.h>
 
-#include "correlation.h"
+#include <assert.h>
+#include "math/correlation.h"
 
 #include <gsl/gsl_matrix.h>
 #include <gsl/gsl_cdf.h>
 #include <math.h>
-#include <libpspp/misc.h>
-#include "minmax.h"
+
+#include "libpspp/misc.h"
+
+#include "gl/minmax.h"
 
 
 double
@@ -37,7 +40,7 @@ significance_of_correlation (double rho, double w)
 
   t = sqrt (t);
   t *= rho;
-  
+
   if (t > 0)
     return  gsl_cdf_tdist_Q (t, w - 2);
   else
@@ -49,20 +52,45 @@ correlation_from_covariance (const gsl_matrix *cv, const gsl_matrix *v)
 {
   size_t i, j;
   gsl_matrix *corr = gsl_matrix_calloc (cv->size1, cv->size2);
-  
+
   for (i = 0 ; i < cv->size1; ++i)
     {
       for (j = 0 ; j < cv->size2; ++j)
        {
          double rho = gsl_matrix_get (cv, i, j);
-         
+
          rho /= sqrt (gsl_matrix_get (v, i, j))
-           * 
+           *
            sqrt (gsl_matrix_get (v, j, i));
-         
+
          gsl_matrix_set (corr, i, j, rho);
        }
     }
-  
+
   return corr;
 }
+
+gsl_matrix *
+covariance_from_correlation (const gsl_matrix *corr, const gsl_matrix *v)
+{
+  size_t i, j;
+  assert (corr->size1 == corr->size2);
+
+  gsl_matrix *output = gsl_matrix_calloc (corr->size1, corr->size2);
+
+  for (i = 0 ; i < corr->size1; ++i)
+    {
+      for (j = 0 ; j < corr->size2; ++j)
+       {
+         double r = gsl_matrix_get (corr, i, j);
+
+         r *= sqrt (gsl_matrix_get (v, i, j))
+           *
+           sqrt (gsl_matrix_get (v, j, i));
+
+         gsl_matrix_set (output, i, j, r);
+       }
+    }
+
+  return output;
+}