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May 7, 2019 21:27
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anicor
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def anicor(matrix1, matrix2): | |
d1 = matrix1.shape[-1] | |
d2 = matrix2.shape[-1] | |
def zscore(data, axis): | |
data -= data.mean(axis=axis,keepdims=True) | |
data /= data.std(axis=axis,keepdims=True) | |
return np.nan_to_num(data, copy=False) | |
assert d1 == d2 | |
assert matrix1.ndim <= 2 | |
assert matrix2.ndim <= 2 | |
matrix1 = zscore(matrix1.astype(float), matrix1.ndim - 1) / np.sqrt(d1) | |
matrix2 = zscore(matrix2.astype(float), matrix2.ndim - 1) / np.sqrt(d2) | |
if matrix1.ndim >= matrix2.ndim: | |
r = np.dot(matrix1, matrix2.T) | |
else: | |
r = np.dot(matrix2, matrix1.T) | |
r = np.clip(r, -1.0, 1.0) | |
df = d1 - 2 | |
if abs(r) == 1.0: | |
p = 0.0 | |
else: | |
from scipy.special import betainc | |
x = df / (df + (r * r * (df / ((1-.0 - r) * (1.0 + r))))) | |
p = betainc(0.5 * df, 0.5, np.where(x < 1.0, x, 1.0)) | |
return r, p |
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