Add more tests for Correlation and conversions

covariancematrix_test.go

@@ -115,6 +115,35 @@ func TestCorrelationMatrix(t *testing.T) {
 				1, 1, 1,
 			}),
 		},
+		{
+			data: mat64.NewDense(5, 2, []float64{
+				-2, -4,
+				-1, 2,
+				0, 0,
+				1, -2,
+				2, 4,
+			}),
+			weights: nil,
+			ans: mat64.NewDense(2, 2, []float64{
+				1, 0.6,
+				0.6, 1,
+			}),
+		}, {
+			data: mat64.NewDense(3, 2, []float64{
+				1, 1,
+				2, 4,
+				3, 9,
+			}),
+			weights: []float64{
+				1,
+				1.5,
+				1,
+			},
+			ans: mat64.NewDense(2, 2, []float64{
+				1, 0.9868703275903379,
+				0.9868703275903379, 1,
+			}),
+		},
 	} {
 		// Make a copy of the data to check that it isn't changing.
 		r := test.data.RawMatrix()
@@ -161,6 +190,71 @@ func TestCorrelationMatrix(t *testing.T) {
 	}
 }
 
+func TestCorrCov(t *testing.T) {
+	// test both Cov2Corr and Cov2Corr
+	for i, test := range []struct {
+		data    *mat64.Dense
+		weights []float64
+	}{
+		{
+			data: mat64.NewDense(3, 3, []float64{
+				1, 2, 3,
+				3, 4, 5,
+				5, 6, 7,
+			}),
+			weights: nil,
+		},
+		{
+			data: mat64.NewDense(5, 2, []float64{
+				-2, -4,
+				-1, 2,
+				0, 0,
+				1, -2,
+				2, 4,
+			}),
+			weights: nil,
+		}, {
+			data: mat64.NewDense(3, 2, []float64{
+				1, 1,
+				2, 4,
+				3, 9,
+			}),
+			weights: []float64{
+				1,
+				1.5,
+				1,
+			},
+		},
+	} {
+		corr := CorrelationMatrix(nil, test.data, test.weights)
+		cov := CovarianceMatrix(nil, test.data, test.weights)
+
+		r, _ := cov.Dims()
+
+		// Get the diagonal elements from cov to determine the sigmas.
+		sigmas := make([]float64, r)
+		for i := range sigmas {
+			sigmas[i] = math.Sqrt(cov.At(i, i))
+		}
+
+		covFromCorr := mat64.DenseCopyOf(corr)
+		Corr2Cov(covFromCorr, sigmas)
+		corrFromCov := mat64.DenseCopyOf(cov)
+		Cov2Corr(corrFromCov)
+
+		if !corr.EqualsApprox(corrFromCov, 1e-14) {
+			t.Errorf("%d: Corr2Cov did not match direct Correlation calculation.  Want: %v, got: %v. ", i, corr, corrFromCov)
+		}
+		if !cov.EqualsApprox(covFromCorr, 1e-14) {
+			t.Errorf("%d: Cov2Corr did not match direct Covariance calculation.  Want: %v, got: %v. ", i, cov, covFromCorr)
+		}
+
+		if !Panics(func() { Corr2Cov(mat64.NewDense(2, 2, nil), []float64{}) }) {
+			t.Errorf("CorrelationMatrix did not panic with sigma size mismatch")
+		}
+	}
+}
+
 // benchmarks
 
 func randMat(r, c int) mat64.Matrix {