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    Class CorrelationCalculator

    Class that performns correlations between vectors

    Inheritance
    object
    CorrelationCalculator
    Inherited Members
    object.Equals(object)
    object.Equals(object, object)
    object.GetHashCode()
    object.GetType()
    object.MemberwiseClone()
    object.ReferenceEquals(object, object)
    object.ToString()
    Namespace: TimeSeriesAnalysis
    Assembly: TimeSeriesAnalysis.dll
    Syntax
    public class CorrelationCalculator

    Methods

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    Calculate(double[], double[], List<int>)

    Calculate the correlation factor between signal1 and signal 2.

    Declaration
    public static double Calculate(double[] signal1, double[] signal2, List<int> indicesToIgnore = null)
    Parameters
    Type Name Description
    double[] signal1
    double[] signal2
    List<int> indicesToIgnore

    Optionally ignore indices in this list from signal1 and signal2

    Returns
    Type Description
    double
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    Calculate(string, TimeSeriesDataSet, List<int>)

    Calculates correlation factors [-1,1] for a signal against all other signals in the dataset (this corresponds to one row or one column of the covariance matrix)

    Declaration
    public static Dictionary<string, double> Calculate(string signalName, TimeSeriesDataSet dataSet, List<int> indicesToIgnore = null)
    Parameters
    Type Name Description
    string signalName
    TimeSeriesDataSet dataSet
    List<int> indicesToIgnore

    these indices are ignored in the calculation (pre-filtered bad or out of range values)

    Returns
    Type Description
    Dictionary<string, double>
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    CalculateAndOrder(string, TimeSeriesDataSet, double, double)

    Calculates correlation factors [-1,1] for a signal against all other signals in the dataset returning the results in a list from highest to lowest score absolute correlation factor

    Declaration
    public static List<CorrelationObject> CalculateAndOrder(string mainSignalName, TimeSeriesDataSet dataSet, double minimumCorrCoeffToDoTimeshiftCalc = 0.4, double minimumRsqAbs = 10)
    Parameters
    Type Name Description
    string mainSignalName
    TimeSeriesDataSet dataSet

    the dataset, which must have a correctly set timestamps in order to estimate time constants

    double minimumCorrCoeffToDoTimeshiftCalc

    calculate time-shift for every corr coeff with absolute value that is above this threshold(0.0-1.0)

    double minimumRsqAbs

    for a time-shift to be valid, the resulting model nees to have Rsq over this threshold

    Returns
    Type Description
    List<CorrelationObject>

    a

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    CorrelateTwoVectors(double[], double[], List<int>)

    Determine the correlation betweeen vectors v1 and v2

    Declaration
    public static double CorrelateTwoVectors(double[] v1, double[] v2, List<int> indicesToIgnore)
    Parameters
    Type Name Description
    double[] v1
    double[] v2
    List<int> indicesToIgnore
    Returns
    Type Description
    double
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    In this article
    • Methods
      • Calculate(double[], double[], List<int>)
      • Calculate(string, TimeSeriesDataSet, List<int>)
      • CalculateAndOrder(string, TimeSeriesDataSet, double, double)
      • CorrelateTwoVectors(double[], double[], List<int>)
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