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

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

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>

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 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

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