[R] A possible too old question on significant test of correlation matrix
Gavin Simpson
gavin.simpson at ucl.ac.uk
Mon Jul 10 13:48:13 CEST 2006
On Mon, 2006-07-10 at 16:22 +0800, Guo Wei-Wei wrote:
> Hi, Gavin, your program is excellent. Thank you very much!
>
> And I have two further questions.
>
> 1. Since it is very possible that the data contains missing value and
> the program will failed against missing values, I have to delete all
> the cases contained NA. Can it be done pairwisely?
Yes, with a modification to accept and pass on argument "use", e.g.:
data(iris)
## copy data
iris2 <- iris
## simulate some missing values in Sepal.Length
iris2[sample(1:nrow(iris2), 5), 1] <- NA
## corProb matrix with missing values
temp <- corProb(iris2[,1:4], use = "pairwise.complete.obs")
See ?cor for the options you can specify for "use". You'll need to paste
in the functions below for this to work.
> 2. Can the program show t values instead of p values?
Yes - this is R! The function Bill Venables wrote uses F-values, so I
looked at what cor.test was doing and modified the function to compute
either t or F values and to return them or their p-values.
temp <- corProb(iris[,1:4])
temp <- corProb(iris[,1:4], type = "t")
temp <- corProb(iris[,1:4], type = "t", pval = FALSE)
For t-values you can do the different test as in ?cor.test :
## with different tests
temp <- corProb(iris[,1:4], type = "t",
alternative = "less")
temp <- corProb(iris[,1:4], type = "t",
alternative = "greater")
Hopefully that does what you wanted.
G
## New functions.
corProb <- function(X, dfr = nrow(X) - 2,
use = c("all.obs", "complete.obs",
"pairwise.complete.obs"),
alternative = c("two.sided", "less",
"greater"),
type = c("F", "t"),
pval = TRUE) {
USE <- match.arg(use)
ALTERNATIVE <- match.arg(alternative)
R <- cor(X, use = USE)
above <- row(R) < col(R)
r2 <- R[above]^2
TYPE <- match.arg(type)
if(TYPE == "t") {
Tstat <- sqrt(dfr) * R[above]/sqrt(1 - r2)
if(pval) {
p <- pt(Tstat, dfr)
R[above] <- switch(ALTERNATIVE, less = p,
greater = 1 - p,
two.sided = 2 * min(p, 1 - p))
}
else
R[above] <- Tstat
}
else {
Fstat <- r2 * dfr / (1 - r2)
if(pval)
R[above] <- 1 - pf(Fstat, 1, dfr)
else
R[above] <- Fstat
}
class(R) <- "corProb"
attr(R, "type") <- TYPE
attr(R, "pval") <- pval
attr(R, "hypoth") <- ALTERNATIVE
R
}
print.corProb <- function(x, digits = getOption("digits"),
quote = FALSE, na.print = "",
justify = "none", ...) {
xx <- format(unclass(round(x, digits = 4)), digits = digits,
justify = justify)
if (any(ina <- is.na(x)))
xx[ina] <- na.print
cat("\nCorrelations are shown below the diagonal\n")
if(attr(x, "pval"))
cat(paste("P-values of the ", attr(x, "type"),
"-statistics are shown above the diagonal\n\n",
sep = ""))
else
cat(paste(attr(x, "type"),
"-values are shown above the diagonal\n\n",
sep = ""))
if(attr(x, "type") == "t")
hypoth <- switch(attr(x, "hypoth"),
less = "less than 0",
greater = "greater than 0",
two.sided = "not equal to 0")
cat(paste("alternative hypothesis: true correlation is",
hypoth, "\n\n"))
print.default(xx, quote = quote, ...)
invisible(x)
}
--
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Gavin Simpson [t] +44 (0)20 7679 0522
ECRC & ENSIS, UCL Geography, [f] +44 (0)20 7679 0565
Pearson Building, [e] gavin.simpsonATNOSPAMucl.ac.uk
Gower Street, London [w] http://www.ucl.ac.uk/~ucfagls/cv/
London, UK. WC1E 6BT. [w] http://www.ucl.ac.uk/~ucfagls/
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