bugGNU Octave - Bugs: bug #42975, [octave forge] (nan) corrcoef...

 
 

bug #42975: [octave forge] (nan) corrcoef function inaccurate

Submitter:  Nir Krakauer <nir_krakauer>
Submitted:  Wed 13 Aug 2014 02:46:44 PM UTC
   
 
Category:  Octave Package Severity:  3 - Normal
Priority:  5 - Normal Item Group:  Incorrect Result
Status:  None Assigned to:  None
Originator Name:  Nir Krakauer Open/Closed:  * Open
Release:  * other Operating System:  * GNU/Linux
Fixed Release:  None Planned Release:  None
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Wed 13 Aug 2014 02:46:44 PM UTC, original submission:  

The corrcoef function in the nan package uses a numerically unstable method to calculate the correlation coefficients, which can even result in the returned correlation coefficients being outside the range -1 to 1.

Examples:
A) i = 1E7; c = corrcoef(1E5 + (1:i)'/i, 1E5 + sin((1:i)'/i) .* cos((1:i)'/i)) returns 1.0518
B) i = 1E6; c = corrcoef(1E7+(1:i)'/i, 1E7 + sin((1:i)'/i)) returns -1.2129
C) i = 1E6; c = corrcoef(1E7+(1:i)'/i, 1E7 - sin((1:i)'/i)) returns 0.00000 - 0.43355i

By contrast, for the above cases the built-in corrcoef function returns reasonable results of 0.92305, 0.99743, -0.99743 respectively

Nir Krakauer <nir_krakauer>

 

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  • -email is unavailable- added by jwe (Updated the item)
  • -email is unavailable- added by nir_krakauer (Submitted the item)
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    Follow 3 latest changes.

    Date Changed by Updated Field Previous Value => Replaced by
    2019-11-19 mtmiller Carbon-CopyRemoved 80942 -
    2017-08-13 jwe Summarynan: corrcoef function inaccurate [octave forge] (nan) corrcoef function inaccurate
    2016-01-18 mtmiller Release3.6.2 other

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