Allow computing the correlation matrix from the covariance matrix only #661
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nalimilan
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Feb 16, 2021
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| """ | ||
| cov2cor(C) | ||
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| Compute the correlation matrix from the covariance matrix `C`. Use `StatsBase.cov2cor!` for an in-place version. | ||
| """ |
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I'd merge this with the docstring for the 2-argument version (with cov2cor(C[, s]) as a signature).
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Can you add tests? |
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Did you remove the tests on purpose? |
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Well, which tests? I didn’t add any tests to Statistics.jl yet. There where two tests that I added to StatsBase.jl in my PR, that failed for what are now obvious reasons.
… On 23 Feb 2021, at 08:50, Milan Bouchet-Valat ***@***.***> wrote:
Did you remove the tests on purpose?
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Hi there, Looks like the method hasn't been implemented. In cov2cor!(C) = cov2cor!(C, [sqrt(C[i,i]) for i = 1:size(C, 1)])
cov2cor(C) = cov2cor!(copy(C))In # Around line 126
@test cov2cor(cov1) ≈ cor1
@test cov2cor(cov2) ≈ cor2
# Around line 202
@test cov2cor(cov1) ≈ cor1
@test cov2cor(cov2) ≈ cor2
# Around line 209
StatsBase.cov2cor!(tmp_cov1)
@test tmp_cov1 ≈ cor1
# Around line 214
StatsBase.cov2cor!(tmp_cov2)
@test tmp_cov2 ≈ cor2 |
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Please make a new PR, that's simpler. |
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Superseded by #816 |
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Following issue #652 in StatsBase.jl