Class CorrelationCalculator

Namespace

TimeSeriesAnalysis

Assembly

TimeSeriesAnalysis.dll

Class that performs correlations between vectors

public class CorrelationCalculator

Inheritance

object

CorrelationCalculator

Inherited Members

object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.MemberwiseClone()

object.ReferenceEquals(object, object)

object.ToString()

Methods

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

Calculate the correlation factor between signal1 and signal 2.

public static double Calculate(double[] signal1, double[] signal2, List<int> indicesToIgnore = null)

Parameters

signal1 double[]

signal2 double[]

indicesToIgnore List<int>

Optionally ignore indices in this list from signal1 and signal2

Returns

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)

public static Dictionary<string, double> Calculate(string signalName, TimeSeriesDataSet dataSet, List<int> indicesToIgnore = null)

Parameters

signalName string

dataSet TimeSeriesDataSet

indicesToIgnore List<int>

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

Returns

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

public static List<CorrelationObject> CalculateAndOrder(string mainSignalName, TimeSeriesDataSet dataSet, double minimumCorrCoeffToDoTimeshiftCalc = 0.4, double minimumFitScore = 10)

Parameters

mainSignalName string

dataSet TimeSeriesDataSet

the dataset, which must have a correctly set timestamps in order to estimate time constants(also consider indicesToIgnore!)

minimumCorrCoeffToDoTimeshiftCalc double

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

minimumFitScore double

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

Returns

List<CorrelationObject>

a

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

Determine the correlation between vectors v1 and v2

public static double CorrelateTwoVectors(double[] v1, double[] v2, List<int> indicesToIgnore)

Parameters

v1 double[]

v2 double[]

indicesToIgnore List<int>

Returns

double