feat(vectors): add covariance(), correlation() fns

thi-ng · Aug 29, 2021 · b8d661d · b8d661d
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diff --git a/packages/vectors/src/correlation.ts b/packages/vectors/src/correlation.ts
@@ -0,0 +1,30 @@
+import type { ReadonlyVec } from "./api";
+import { center } from "./center";
+import { mag } from "./mag";
+import { mul } from "./mul";
+import { sum } from "./sum";
+
+/**
+ * Computes the Pearson correlation coefficient between `a` and `b`. Returns
+ * `undefined` if the denominator (see below) is zero.
+ *
+ * @remarks
+ * ```text
+ * sum(a' * b') / (mag(a') * mag(b'))
+ * ```
+ *
+ * ...where `a'` and `b'` are {@link center}'ed versions of given input vectors.
+ *
+ * References:
+ * - https://en.wikipedia.org/wiki/Correlation
+ * - https://www.youtube.com/watch?v=2bcmklvrXTQ
+ *
+ * @param a
+ * @param b
+ */
+export const correlation = (a: ReadonlyVec, b: ReadonlyVec) => {
+    a = center([], a);
+    b = center([], b);
+    const m = mag(a) * mag(b);
+    return m !== 0 ? sum(mul(null, a, b)) / m : undefined;
+};
diff --git a/packages/vectors/src/covariance.ts b/packages/vectors/src/covariance.ts
@@ -0,0 +1,18 @@
+import type { ReadonlyVec } from "./api";
+import { center } from "./center";
+import { mul } from "./mul";
+import { sum } from "./sum";
+
+/**
+ * Computes the covariance coefficient between the two given vectors.
+ *
+ * @remarks
+ * References:
+ * - https://en.wikipedia.org/wiki/Covariance
+ * - https://www.youtube.com/watch?v=2bcmklvrXTQ
+ *
+ * @param a
+ * @param b
+ */
+export const covariance = (a: ReadonlyVec, b: ReadonlyVec) =>
+    sum(mul(null, center([], a), center([], b))) / (a.length - 1);