我正在寻找一个函数,它将两个列表作为输入,并返回Pearson相关性,以及相关性的重要性。
当前回答
下面的代码是对该定义的直接解释:
import math
def average(x):
assert len(x) > 0
return float(sum(x)) / len(x)
def pearson_def(x, y):
assert len(x) == len(y)
n = len(x)
assert n > 0
avg_x = average(x)
avg_y = average(y)
diffprod = 0
xdiff2 = 0
ydiff2 = 0
for idx in range(n):
xdiff = x[idx] - avg_x
ydiff = y[idx] - avg_y
diffprod += xdiff * ydiff
xdiff2 += xdiff * xdiff
ydiff2 += ydiff * ydiff
return diffprod / math.sqrt(xdiff2 * ydiff2)
测试:
print pearson_def([1,2,3], [1,5,7])
返回
0.981980506062
这与Excel,这个计算器,SciPy(也是NumPy)一致,分别返回0.981980506和0.9819805060619657,和0.98198050606196574。
R:
> cor( c(1,2,3), c(1,5,7))
[1] 0.9819805
编辑:修正了一个由评论者指出的错误。
其他回答
您可能想知道如何在寻找特定方向的相关性(负相关或正相关)的上下文中解释您的概率。这是我写的一个函数。它甚至可能是正确的!
这是基于我从http://www.vassarstats.net/rsig.html和http://en.wikipedia.org/wiki/Student%27s_t_distribution上收集到的信息,感谢这里发布的其他答案。
# Given (possibly random) variables, X and Y, and a correlation direction,
# returns:
# (r, p),
# where r is the Pearson correlation coefficient, and p is the probability
# that there is no correlation in the given direction.
#
# direction:
# if positive, p is the probability that there is no positive correlation in
# the population sampled by X and Y
# if negative, p is the probability that there is no negative correlation
# if 0, p is the probability that there is no correlation in either direction
def probabilityNotCorrelated(X, Y, direction=0):
x = len(X)
if x != len(Y):
raise ValueError("variables not same len: " + str(x) + ", and " + \
str(len(Y)))
if x < 6:
raise ValueError("must have at least 6 samples, but have " + str(x))
(corr, prb_2_tail) = stats.pearsonr(X, Y)
if not direction:
return (corr, prb_2_tail)
prb_1_tail = prb_2_tail / 2
if corr * direction > 0:
return (corr, prb_1_tail)
return (corr, 1 - prb_1_tail)
你可以看看这篇文章。这是一个使用pandas库(适用于Python)根据多个文件的历史外汇货币对数据计算相关性的示例,然后使用seaborn库生成热图图。
http://www.tradinggeeks.net/2015/08/calculating-correlation-in-python/
从Python 3.10开始,Pearson的相关系数(statistics.correlation)可以直接在标准库中获得:
from statistics import correlation
# a = [15, 12, 8, 8, 7, 7, 7, 6, 5, 3]
# b = [10, 25, 17, 11, 13, 17, 20, 13, 9, 15]
correlation(a, b)
# 0.1449981545806852
下面的代码是对该定义的直接解释:
import math
def average(x):
assert len(x) > 0
return float(sum(x)) / len(x)
def pearson_def(x, y):
assert len(x) == len(y)
n = len(x)
assert n > 0
avg_x = average(x)
avg_y = average(y)
diffprod = 0
xdiff2 = 0
ydiff2 = 0
for idx in range(n):
xdiff = x[idx] - avg_x
ydiff = y[idx] - avg_y
diffprod += xdiff * ydiff
xdiff2 += xdiff * xdiff
ydiff2 += ydiff * ydiff
return diffprod / math.sqrt(xdiff2 * ydiff2)
测试:
print pearson_def([1,2,3], [1,5,7])
返回
0.981980506062
这与Excel,这个计算器,SciPy(也是NumPy)一致,分别返回0.981980506和0.9819805060619657,和0.98198050606196574。
R:
> cor( c(1,2,3), c(1,5,7))
[1] 0.9819805
编辑:修正了一个由评论者指出的错误。
def pearson(x,y):
n=len(x)
vals=range(n)
sumx=sum([float(x[i]) for i in vals])
sumy=sum([float(y[i]) for i in vals])
sumxSq=sum([x[i]**2.0 for i in vals])
sumySq=sum([y[i]**2.0 for i in vals])
pSum=sum([x[i]*y[i] for i in vals])
# Calculating Pearson correlation
num=pSum-(sumx*sumy/n)
den=((sumxSq-pow(sumx,2)/n)*(sumySq-pow(sumy,2)/n))**.5
if den==0: return 0
r=num/den
return r
推荐文章
- 证书验证失败:无法获得本地颁发者证书
- 当使用pip3安装包时,“Python中的ssl模块不可用”
- 无法切换Python与pyenv
- Python if not == vs if !=
- 如何从scikit-learn决策树中提取决策规则?
- 为什么在Mac OS X v10.9 (Mavericks)的终端中apt-get功能不起作用?
- 将旋转的xtick标签与各自的xtick对齐
- 为什么元组可以包含可变项?
- 如何合并字典的字典?
- 如何创建类属性?
- 不区分大小写的“in”
- 在Python中获取迭代器中的元素个数
- 解析日期字符串并更改格式
- 使用try和。Python中的if
- 如何在Python中获得所有直接子目录