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Re: Can IDL calculate the confidence level about correlation [message #56888 is a reply to message #56885]

Fri, 23 November 2007 04:06

yp
Messages: 42
Registered: February 2005

Member

Not exactly what you want... but this might give you some idea.
;+
; PRO: sig_test
; Significance Test of correlation for a sample size = N
;
; N: Number of observations
; r: Correlation coefficient
; Pr: Probaility that random noise could produce the result
(correlation) with N samples
; Pr=ERFC(r*sqrt(N/2))
; ERFC: Complementary Error Function
; rsig: At which we have 100*(1-limit) chance that random data would
produce this result (r)
; rsig=INVERF(limit)*sqrt(2/N)

; Interpretation:
; Any "r" value greater than "rsig" are significant at "limit*100"
level
; Modification: Yaswant Pradhan 10/6/05
;-

PRO sig_test
r=0D
N=0D
Pr=0D
rsig=0D
i=0.99

input: read,'Input Correlation coefficint and Number of samples [r,
N]',r,N
if (r gt 1.0 or r lt -1.0) then begin
err=widget_message('r value should be between -1.0 and 1.0. Input
r, N again!',/Error)
goto, input
endif

r=abs(r)
Pr= ERFC(r*sqrt(N/2.))

while (inverf(i)*sqrt(2./N) gt r) do begin
i=i-0.01
rsig=inverf(i)*sqrt(2./N)
endwhile

print,'Correlation Significance Test Result:'
print,'====================================='
print,'Correlation coefficient: ',r
print,'Number of samples: ',N
print,'Confidence Limit: '+string(9b)+string(i*100,format='(i2.2)')
+'%'
print,'Probability (Pr): ',Pr
print,'====================================='
END

On Nov 23, 1:51 am, Lin Wang <wanglin1...@gmail.com> wrote:
> I found a code which can calculate the confidence level using pvalue
> method (see below). It works well, but usually I use the Student's t-
> test method. So can anyone help?
>
> Thanks!
>
> r=correlate(x,y)
> var=1/(n-3.0)
> zvalue = 0.5*alog((1+r)/(1-r))/sqrt(var)
> if (zvalue lt 0) then pvalue = 2*(gauss_pdf(zvalue)) $
> else pvalue = 2*(1-gauss_pdf(zvalue))

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[Message index]

		Re: Can IDL calculate the confidence level about correlation By: wanglin1981 on Fri, 23 November 2007 17:30
		Re: Can IDL calculate the confidence level about correlation By: wanglin1981 on Fri, 23 November 2007 17:28
		Re: Can IDL calculate the confidence level about correlation By: Mike[2] on Fri, 23 November 2007 15:25
		Re: Can IDL calculate the confidence level about correlation By: Vince Hradil on Fri, 23 November 2007 13:02
		Re: Can IDL calculate the confidence level about correlation By: yp on Fri, 23 November 2007 04:06
		Re: Can IDL calculate the confidence level about correlation By: wanglin1981 on Thu, 22 November 2007 17:51
		Re: Can IDL calculate the confidence level about correlation By: Brian Larsen on Sat, 24 November 2007 06:25

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