/usr/include/correlationtests.h is in libalglib-dev 2.6.0-3.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
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Copyright (c) 2007, Sergey Bochkanov (ALGLIB project).
>>> SOURCE LICENSE >>>
This program is free software; you can redistribute it and/or modify
it under the terms of the GNU General Public License as published by
the Free Software Foundation (www.fsf.org); either version 2 of the
License, or (at your option) any later version.
This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
GNU General Public License for more details.
A copy of the GNU General Public License is available at
http://www.fsf.org/licensing/licenses
>>> END OF LICENSE >>>
*************************************************************************/
#ifndef _correlationtests_h
#define _correlationtests_h
#include "ap.h"
#include "ialglib.h"
#include "gammafunc.h"
#include "normaldistr.h"
#include "ibetaf.h"
#include "studenttdistr.h"
#include "correlation.h"
/*************************************************************************
Pearson's correlation coefficient significance test
This test checks hypotheses about whether X and Y are samples of two
continuous distributions having zero correlation or whether their
correlation is non-zero.
The following tests are performed:
* two-tailed test (null hypothesis - X and Y have zero correlation)
* left-tailed test (null hypothesis - the correlation coefficient is
greater than or equal to 0)
* right-tailed test (null hypothesis - the correlation coefficient is
less than or equal to 0).
Requirements:
* the number of elements in each sample is not less than 5
* normality of distributions of X and Y.
Input parameters:
R - Pearson's correlation coefficient for X and Y
N - number of elements in samples, N>=5.
Output parameters:
BothTails - p-value for two-tailed test.
If BothTails is less than the given significance level
the null hypothesis is rejected.
LeftTail - p-value for left-tailed test.
If LeftTail is less than the given significance level,
the null hypothesis is rejected.
RightTail - p-value for right-tailed test.
If RightTail is less than the given significance level
the null hypothesis is rejected.
-- ALGLIB --
Copyright 09.04.2007 by Bochkanov Sergey
*************************************************************************/
void pearsoncorrelationsignificance(double r,
int n,
double& bothtails,
double& lefttail,
double& righttail);
/*************************************************************************
Spearman's rank correlation coefficient significance test
This test checks hypotheses about whether X and Y are samples of two
continuous distributions having zero correlation or whether their
correlation is non-zero.
The following tests are performed:
* two-tailed test (null hypothesis - X and Y have zero correlation)
* left-tailed test (null hypothesis - the correlation coefficient is
greater than or equal to 0)
* right-tailed test (null hypothesis - the correlation coefficient is
less than or equal to 0).
Requirements:
* the number of elements in each sample is not less than 5.
The test is non-parametric and doesn't require distributions X and Y to be
normal.
Input parameters:
R - Spearman's rank correlation coefficient for X and Y
N - number of elements in samples, N>=5.
Output parameters:
BothTails - p-value for two-tailed test.
If BothTails is less than the given significance level
the null hypothesis is rejected.
LeftTail - p-value for left-tailed test.
If LeftTail is less than the given significance level,
the null hypothesis is rejected.
RightTail - p-value for right-tailed test.
If RightTail is less than the given significance level
the null hypothesis is rejected.
-- ALGLIB --
Copyright 09.04.2007 by Bochkanov Sergey
*************************************************************************/
void spearmanrankcorrelationsignificance(double r,
int n,
double& bothtails,
double& lefttail,
double& righttail);
#endif
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