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math::statistics(n) Tcl Math Library math::statistics(n)
____________________________________________________________________________________________________________
NAME
math::statistics - Basic statistical functions and procedures
SYNOPSIS
package require Tcl 8
package require math::statistics 0.5
::math::statistics::mean data
::math::statistics::min data
::math::statistics::max data
::math::statistics::number data
::math::statistics::stdev data
::math::statistics::var data
::math::statistics::pstdev data
::math::statistics::pvar data
::math::statistics::median data
::math::statistics::basic-stats data
::math::statistics::histogram limits values
::math::statistics::corr data1 data2
::math::statistics::interval-mean-stdev data confidence
::math::statistics::t-test-mean data est_mean est_stdev confidence
::math::statistics::test-normal data confidence
::math::statistics::lillieforsFit data
::math::statistics::quantiles data confidence
::math::statistics::quantiles limits counts confidence
::math::statistics::autocorr data
::math::statistics::crosscorr data1 data2
::math::statistics::mean-histogram-limits mean stdev number
::math::statistics::minmax-histogram-limits min max number
::math::statistics::linear-model xdata ydata intercept
::math::statistics::linear-residuals xdata ydata intercept
::math::statistics::test-2x2 n11 n21 n12 n22
::math::statistics::print-2x2 n11 n21 n12 n22
::math::statistics::control-xbar data ?nsamples?
::math::statistics::control-Rchart data ?nsamples?
::math::statistics::test-xbar control data
::math::statistics::test-Rchart control data
::math::statistics::tstat dof ?alpha?
::math::statistics::mv-wls wt1 weights_and_values
::math::statistics::mv-ols values
::math::statistics::pdf-normal mean stdev value
::math::statistics::pdf-exponential mean value
::math::statistics::pdf-uniform xmin xmax value
::math::statistics::pdf-gamma alpha beta value
::math::statistics::pdf-poisson mu k
::math::statistics::pdf-chisquare df value
::math::statistics::pdf-student-t df value
::math::statistics::pdf-beta a b value
::math::statistics::cdf-normal mean stdev value
::math::statistics::cdf-exponential mean value
::math::statistics::cdf-uniform xmin xmax value
::math::statistics::cdf-students-t degrees value
::math::statistics::cdf-gamma alpha beta value
::math::statistics::cdf-poisson mu k
::math::statistics::cdf-beta a b value
::math::statistics::random-normal mean stdev number
::math::statistics::random-exponential mean number
::math::statistics::random-uniform xmin xmax number
::math::statistics::random-gamma alpha beta number
::math::statistics::random-chisquare df number
::math::statistics::random-student-t df number
::math::statistics::random-beta a b number
::math::statistics::histogram-uniform xmin xmax limits number
::math::statistics::incompleteGamma x p ?tol?
::math::statistics::incompleteBeta a b x ?tol?
::math::statistics::filter varname data expression
::math::statistics::map varname data expression
::math::statistics::samplescount varname list expression
::math::statistics::subdivide
::math::statistics::plot-scale canvas xmin xmax ymin ymax
::math::statistics::plot-xydata canvas xdata ydata tag
::math::statistics::plot-xyline canvas xdata ydata tag
::math::statistics::plot-tdata canvas tdata tag
::math::statistics::plot-tline canvas tdata tag
::math::statistics::plot-histogram canvas counts limits tag
____________________________________________________________________________________________________________
DESCRIPTION
The math::statistics package contains functions and procedures for basic statistical data analysis,
such as:
• Descriptive statistical parameters (mean, minimum, maximum, standard deviation)
• Estimates of the distribution in the form of histograms and quantiles
• Basic testing of hypotheses
• Probability and cumulative density functions
It is meant to help in developing data analysis applications or doing ad hoc data analysis, it is not
in itself a full application, nor is it intended to rival with full (non-)commercial statistical
packages.
The purpose of this document is to describe the implemented procedures and provide some examples of
their usage. As there is ample literature on the algorithms involved, we refer to relevant text books
for more explanations. The package contains a fairly large number of public procedures. They can be
distinguished in three sets: general procedures, procedures that deal with specific statistical dis-tributions, distributions,
tributions, list procedures to select or transform data and simple plotting procedures (these require
Tk). Note: The data that need to be analyzed are always contained in a simple list. Missing values
are represented as empty list elements.
GENERAL PROCEDURES
The general statistical procedures are:
::math::statistics::mean data
Determine the mean value of the given list of data.
list data
- List of data
::math::statistics::min data
Determine the minimum value of the given list of data.
list data
- List of data
::math::statistics::max data
Determine the maximum value of the given list of data.
list data
- List of data
::math::statistics::number data
Determine the number of non-missing data in the given list
list data
- List of data
::math::statistics::stdev data
Determine the sample standard deviation of the data in the given list
list data
- List of data
::math::statistics::var data
Determine the sample variance of the data in the given list
list data
- List of data
::math::statistics::pstdev data
Determine the population standard deviation of the data in the given list
list data
- List of data
::math::statistics::pvar data
Determine the population variance of the data in the given list
list data
- List of data
::math::statistics::median data
Determine the median of the data in the given list (Note that this requires sorting the data,
which may be a costly operation)
list data
- List of data
::math::statistics::basic-stats data
Determine a list of all the descriptive parameters: mean, minimum, maximum, number of data,
sample standard deviation, sample variance, population standard deviation and population vari-ance. variance.
ance.
(This routine is called whenever either or all of the basic statistical parameters are
required. Hence all calculations are done and the relevant values are returned.)
list data
- List of data
::math::statistics::histogram limits values
Determine histogram information for the given list of data. Returns a list consisting of the
number of values that fall into each interval. (The first interval consists of all values
lower than the first limit, the last interval consists of all values greater than the last
limit. There is one more interval than there are limits.)
list limits
- List of upper limits (in ascending order) for the intervals of the histogram.
list values
- List of data
::math::statistics::corr data1 data2
Determine the correlation coefficient between two sets of data.
list data1
- First list of data
list data2
- Second list of data
::math::statistics::interval-mean-stdev data confidence
Return the interval containing the mean value and one containing the standard deviation with a
certain level of confidence (assuming a normal distribution)
list data
- List of raw data values (small sample)
float confidence
- Confidence level (0.95 or 0.99 for instance)
::math::statistics::t-test-mean data est_mean est_stdev confidence
Test whether the mean value of a sample is in accordance with the estimated normal distribu-tion distribution
tion with a certain level of confidence. Returns 1 if the test succeeds or 0 if the mean is
unlikely to fit the given distribution.
list data
- List of raw data values (small sample)
float est_mean
- Estimated mean of the distribution
float est_stdev
- Estimated stdev of the distribution
float confidence
- Confidence level (0.95 or 0.99 for instance)
::math::statistics::test-normal data confidence
Test whether the given data follow a normal distribution with a certain level of confidence.
Returns 1 if the data are normally distributed within the level of confidence, returns 0 if
not. The underlying test is the Lilliefors test.
list data
- List of raw data values
float confidence
- Confidence level (one of 0.80, 0.90, 0.95 or 0.99)
::math::statistics::lillieforsFit data
Returns the goodness of fit to a normal distribution according to Lilliefors. The higher the
number, the more likely the data are indeed normally distributed. The test requires at least
five data points.
list data
- List of raw data values
::math::statistics::quantiles data confidence
Return the quantiles for a given set of data
list data
- List of raw data values
float confidence
- Confidence level (0.95 or 0.99 for instance)
::math::statistics::quantiles limits counts confidence
Return the quantiles based on histogram information (alternative to the call with two argu-ments) arguments)
ments)
list limits
- List of upper limits from histogram
list counts
- List of counts for for each interval in histogram
float confidence
- Confidence level (0.95 or 0.99 for instance)
::math::statistics::autocorr data
Return the autocorrelation function as a list of values (assuming equidistance between sam-ples, samples,
ples, about 1/2 of the number of raw data)
The correlation is determined in such a way that the first value is always 1 and all others
are equal to or smaller than 1. The number of values involved will diminish as the "time" (the
index in the list of returned values) increases
list data
- Raw data for which the autocorrelation must be determined
::math::statistics::crosscorr data1 data2
Return the cross-correlation function as a list of values (assuming equidistance between sam-ples, samples,
ples, about 1/2 of the number of raw data)
The correlation is determined in such a way that the values can never exceed 1 in magnitude.
The number of values involved will diminish as the "time" (the index in the list of returned
values) increases.
list data1
- First list of data
list data2
- Second list of data
::math::statistics::mean-histogram-limits mean stdev number
Determine reasonable limits based on mean and standard deviation for a histogram Convenience
function - the result is suitable for the histogram function.
float mean
- Mean of the data
float stdev
- Standard deviation
int number
- Number of limits to generate (defaults to 8)
::math::statistics::minmax-histogram-limits min max number
Determine reasonable limits based on a minimum and maximum for a histogram
Convenience function - the result is suitable for the histogram function.
float min
- Expected minimum
float max
- Expected maximum
int number
- Number of limits to generate (defaults to 8)
::math::statistics::linear-model xdata ydata intercept
Determine the coefficients for a linear regression between two series of data (the model: Y =
A + B*X). Returns a list of parameters describing the fit
list xdata
- List of independent data
list ydata
- List of dependent data to be fitted
boolean intercept
- (Optional) compute the intercept (1, default) or fit to a line through the origin (0)
The result consists of the following list:
• (Estimate of) Intercept A
• (Estimate of) Slope B
• Standard deviation of Y relative to fit
• Correlation coefficient R2
• Number of degrees of freedom df
• Standard error of the intercept A
• Significance level of A
• Standard error of the slope B
• Significance level of B
::math::statistics::linear-residuals xdata ydata intercept
Determine the difference between actual data and predicted from the linear model.
Returns a list of the differences between the actual data and the predicted values.
list xdata
- List of independent data
list ydata
- List of dependent data to be fitted
boolean intercept
- (Optional) compute the intercept (1, default) or fit to a line through the origin (0)
::math::statistics::test-2x2 n11 n21 n12 n22
Determine if two set of samples, each from a binomial distribution, differ significantly or
not (implying a different parameter).
Returns the "chi-square" value, which can be used to the determine the significance.
int n11
- Number of outcomes with the first value from the first sample.
int n21
- Number of outcomes with the first value from the second sample.
int n12
- Number of outcomes with the second value from the first sample.
int n22
- Number of outcomes with the second value from the second sample.
::math::statistics::print-2x2 n11 n21 n12 n22
Determine if two set of samples, each from a binomial distribution, differ significantly or
not (implying a different parameter).
Returns a short report, useful in an interactive session.
int n11
- Number of outcomes with the first value from the first sample.
int n21
- Number of outcomes with the first value from the second sample.
int n12
- Number of outcomes with the second value from the first sample.
int n22
- Number of outcomes with the second value from the second sample.
::math::statistics::control-xbar data ?nsamples?
Determine the control limits for an xbar chart. The number of data in each subsample defaults
to 4. At least 20 subsamples are required.
Returns the mean, the lower limit, the upper limit and the number of data per subsample.
list data
- List of observed data
int nsamples
- Number of data per subsample
::math::statistics::control-Rchart data ?nsamples?
Determine the control limits for an R chart. The number of data in each subsample (nsamples)
defaults to 4. At least 20 subsamples are required.
Returns the mean range, the lower limit, the upper limit and the number of data per subsample.
list data
- List of observed data
int nsamples
- Number of data per subsample
::math::statistics::test-xbar control data
Determine if the data exceed the control limits for the xbar chart.
Returns a list of subsamples (their indices) that indeed violate the limits.
list control
- Control limits as returned by the "control-xbar" procedure
list data
- List of observed data
::math::statistics::test-Rchart control data
Determine if the data exceed the control limits for the R chart.
Returns a list of subsamples (their indices) that indeed violate the limits.
list control
- Control limits as returned by the "control-Rchart" procedure
list data
- List of observed data
MULTIVARIATE LINEAR REGRESSION
Besides the linear regression with a single independent variable, the statistics package provides two
procedures for doing ordinary least squares (OLS) and weighted least squares (WLS) linear regression
with several variables. They were written by Eric Kemp-Benedict.
In addition to these two, it provides a procedure (tstat) for calculating the value of the t-statis-tic t-statistic
tic for the specified number of degrees of freedom that is required to demonstrate a given level of
significance.
Note: These procedures depend on the math::linearalgebra package.
Description of the procedures
::math::statistics::tstat dof ?alpha?
Returns the value of the t-distribution t* satisfying
P(t*) = 1 - alpha/2
P(-t*) = alpha/2
for the number of degrees of freedom dof.
Given a sample of normally-distributed data x, with an estimate xbar for the mean and sbar for
the standard deviation, the alpha confidence interval for the estimate of the mean can be cal-culated calculated
culated as
( xbar - t* sbar , xbar + t* sbar)
The return values from this procedure can be compared to an estimated t-statistic to determine
whether the estimated value of a parameter is significantly different from zero at the given
confidence level.
int dof
Number of degrees of freedom
float alpha
Confidence level of the t-distribution. Defaults to 0.05.
::math::statistics::mv-wls wt1 weights_and_values
Carries out a weighted least squares linear regression for the data points provided, with
weights assigned to each point.
The linear model is of the form
y = b0 + b1 * x1 + b2 * x2 ... + bN * xN + error
and each point satisfies
yi = b0 + b1 * xi1 + b2 * xi2 + ... + bN * xiN + Residual_i
The procedure returns a list with the following elements:
• The r-squared statistic
• The adjusted r-squared statistic
• A list containing the estimated coefficients b1, ... bN, b0 (The constant b0 comes last
in the list.)
• A list containing the standard errors of the coefficients
• A list containing the 95% confidence bounds of the coefficients, with each set of
bounds returned as a list with two values
Arguments:
list weights_and_values
A list consisting of: the weight for the first observation, the data for the first
observation (as a sublist), the weight for the second observation (as a sublist) and so
on. The sublists of data are organised as lists of the value of the dependent variable
y and the independent variables x1, x2 to xN.
::math::statistics::mv-ols values
Carries out an ordinary least squares linear regression for the data points provided.
This procedure simply calls ::mvlinreg::wls with the weights set to 1.0, and returns the same
information.
Example of the use:
# Store the value of the unicode value for the "+/-" character
set pm "\u00B1"
# Provide some data
set data {{ -.67 14.18 60.03 -7.5 }
{ 36.97 15.52 34.24 14.61 }
{-29.57 21.85 83.36 -7. }
{-16.9 11.79 51.67 -6.56 }
{ 14.09 16.24 36.97 -12.84}
{ 31.52 20.93 45.99 -25.4 }
{ 24.05 20.69 50.27 17.27}
{ 22.23 16.91 45.07 -4.3 }
{ 40.79 20.49 38.92 -.73 }
{-10.35 17.24 58.77 18.78}}
# Call the ols routine
set results [::math::statistics::mv-ols $data]
# Pretty-print the results
puts "R-squared: [lindex $results 0]"
puts "Adj R-squared: [lindex $results 1]"
puts "Coefficients $pm s.e. -- \[95% confidence interval\]:"
foreach val [lindex $results 2] se [lindex $results 3] bounds [lindex $results 4] {
set lb [lindex $bounds 0]
set ub [lindex $bounds 1]
puts " $val $pm $se -- \[$lb to $ub\]"
}
STATISTICAL DISTRIBUTIONS
In the literature a large number of probability distributions can be found. The statistics package
supports:
• The normal or Gaussian distribution
• The uniform distribution - equal probability for all data within a given interval
• The exponential distribution - useful as a model for certain extreme-value distributions.
• The gamma distribution - based on the incomplete Gamma integral
• The chi-square distribution
• The student's T distribution
• The Poisson distribution
• PM - binomial,F.
In principle for each distribution one has procedures for:
• The probability density (pdf-*)
• The cumulative density (cdf-*)
• Quantiles for the given distribution (quantiles-*)
• Histograms for the given distribution (histogram-*)
• List of random values with the given distribution (random-*)
The following procedures have been implemented:
::math::statistics::pdf-normal mean stdev value
Return the probability of a given value for a normal distribution with given mean and standard
deviation.
float mean
- Mean value of the distribution
float stdev
- Standard deviation of the distribution
float value
- Value for which the probability is required
::math::statistics::pdf-exponential mean value
Return the probability of a given value for an exponential distribution with given mean.
float mean
- Mean value of the distribution
float value
- Value for which the probability is required
::math::statistics::pdf-uniform xmin xmax value
Return the probability of a given value for a uniform distribution with given extremes.
float xmin
- Minimum value of the distribution
float xmin
- Maximum value of the distribution
float value
- Value for which the probability is required
::math::statistics::pdf-gamma alpha beta value
Return the probability of a given value for a Gamma distribution with given shape and rate
parameters
float alpha
- Shape parameter
float beta
- Rate parameter
float value
- Value for which the probability is required
::math::statistics::pdf-poisson mu k
Return the probability of a given number of occurrences in the same interval (k) for a Poisson
distribution with given mean (mu)
float mu
- Mean number of occurrences
int k - Number of occurences
::math::statistics::pdf-chisquare df value
Return the probability of a given value for a chi square distribution with given degrees of
freedom
float df
- Degrees of freedom
float value
- Value for which the probability is required
::math::statistics::pdf-student-t df value
Return the probability of a given value for a Student's t distribution with given degrees of
freedom
float df
- Degrees of freedom
float value
- Value for which the probability is required
::math::statistics::pdf-beta a b value
Return the probability of a given value for a Beta distribution with given shape parameters
float a
- First shape parameter
float b
- First shape parameter
float value
- Value for which the probability is required
::math::statistics::cdf-normal mean stdev value
Return the cumulative probability of a given value for a normal distribution with given mean
and standard deviation, that is the probability for values up to the given one.
float mean
- Mean value of the distribution
float stdev
- Standard deviation of the distribution
float value
- Value for which the probability is required
::math::statistics::cdf-exponential mean value
Return the cumulative probability of a given value for an exponential distribution with given
mean.
float mean
- Mean value of the distribution
float value
- Value for which the probability is required
::math::statistics::cdf-uniform xmin xmax value
Return the cumulative probability of a given value for a uniform distribution with given
extremes.
float xmin
- Minimum value of the distribution
float xmin
- Maximum value of the distribution
float value
- Value for which the probability is required
::math::statistics::cdf-students-t degrees value
Return the cumulative probability of a given value for a Student's t distribution with given
number of degrees.
int degrees
- Number of degrees of freedom
float value
- Value for which the probability is required
::math::statistics::cdf-gamma alpha beta value
Return the cumulative probability of a given value for a Gamma distribution with given shape
and rate parameters
float alpha
- Shape parameter
float beta
- Rate parameter
float value
- Value for which the cumulative probability is required
::math::statistics::cdf-poisson mu k
Return the cumulative probability of a given number of occurrences in the same interval (k)
for a Poisson distribution with given mean (mu)
float mu
- Mean number of occurrences
int k - Number of occurences
::math::statistics::cdf-beta a b value
Return the cumulative probability of a given value for a Beta distribution with given shape
parameters
float a
- First shape parameter
float b
- First shape parameter
float value
- Value for which the probability is required
::math::statistics::random-normal mean stdev number
Return a list of "number" random values satisfying a normal distribution with given mean and
standard deviation.
float mean
- Mean value of the distribution
float stdev
- Standard deviation of the distribution
int number
- Number of values to be returned
::math::statistics::random-exponential mean number
Return a list of "number" random values satisfying an exponential distribution with given
mean.
float mean
- Mean value of the distribution
int number
- Number of values to be returned
::math::statistics::random-uniform xmin xmax number
Return a list of "number" random values satisfying a uniform distribution with given extremes.
float xmin
- Minimum value of the distribution
float xmax
- Maximum value of the distribution
int number
- Number of values to be returned
::math::statistics::random-gamma alpha beta number
Return a list of "number" random values satisfying a Gamma distribution with given shape and
rate parameters
float alpha
- Shape parameter
float beta
- Rate parameter
int number
- Number of values to be returned
::math::statistics::random-chisquare df number
Return a list of "number" random values satisfying a chi square distribution with given
degrees of freedom
float df
- Degrees of freedom
int number
- Number of values to be returned
::math::statistics::random-student-t df number
Return a list of "number" random values satisfying a Student's t distribution with given
degrees of freedom
float df
- Degrees of freedom
int number
- Number of values to be returned
::math::statistics::random-beta a b number
Return a list of "number" random values satisfying a Beta distribution with given shape param-eters parameters
eters
float a
- First shape parameter
float b
- Second shape parameter
int number
- Number of values to be returned
::math::statistics::histogram-uniform xmin xmax limits number
Return the expected histogram for a uniform distribution.
float xmin
- Minimum value of the distribution
float xmax
- Maximum value of the distribution
list limits
- Upper limits for the buckets in the histogram
int number
- Total number of "observations" in the histogram
::math::statistics::incompleteGamma x p ?tol?
Evaluate the incomplete Gamma integral
1 / x p-1
P(p,x) = -------- | dt exp(-t) * t
Gamma(p) / 0
float x
- Value of x (limit of the integral)
float p
- Value of p in the integrand
float tol
- Required tolerance (default: 1.0e-9)
::math::statistics::incompleteBeta a b x ?tol?
Evaluate the incomplete Beta integral
float a
- First shape parameter
float b
- Second shape parameter
float x
- Value of x (limit of the integral)
float tol
- Required tolerance (default: 1.0e-9)
TO DO: more function descriptions to be added
DATA MANIPULATION
The data manipulation procedures act on lists or lists of lists:
::math::statistics::filter varname data expression
Return a list consisting of the data for which the logical expression is true (this command
works analogously to the command foreach).
string varname
- Name of the variable used in the expression
list data
- List of data
string expression
- Logical expression using the variable name
::math::statistics::map varname data expression
Return a list consisting of the data that are transformed via the expression.
string varname
- Name of the variable used in the expression
list data
- List of data
string expression
- Expression to be used to transform (map) the data
::math::statistics::samplescount varname list expression
Return a list consisting of the counts of all data in the sublists of the "list" argument for
which the expression is true.
string varname
- Name of the variable used in the expression
list data
- List of sublists, each containing the data
string expression
- Logical expression to test the data (defaults to "true").
::math::statistics::subdivide
Routine PM - not implemented yet
PLOT PROCEDURES
The following simple plotting procedures are available:
::math::statistics::plot-scale canvas xmin xmax ymin ymax
Set the scale for a plot in the given canvas. All plot routines expect this function to be
called first. There is no automatic scaling provided.
widget canvas
- Canvas widget to use
float xmin
- Minimum x value
float xmax
- Maximum x value
float ymin
- Minimum y value
float ymax
- Maximum y value
::math::statistics::plot-xydata canvas xdata ydata tag
Create a simple XY plot in the given canvas - the data are shown as a collection of dots. The
tag can be used to manipulate the appearance.
widget canvas
- Canvas widget to use
float xdata
- Series of independent data
float ydata
- Series of dependent data
string tag
- Tag to give to the plotted data (defaults to xyplot)
::math::statistics::plot-xyline canvas xdata ydata tag
Create a simple XY plot in the given canvas - the data are shown as a line through the data
points. The tag can be used to manipulate the appearance.
widget canvas
- Canvas widget to use
list xdata
- Series of independent data
list ydata
- Series of dependent data
string tag
- Tag to give to the plotted data (defaults to xyplot)
::math::statistics::plot-tdata canvas tdata tag
Create a simple XY plot in the given canvas - the data are shown as a collection of dots. The
horizontal coordinate is equal to the index. The tag can be used to manipulate the appearance.
This type of presentation is suitable for autocorrelation functions for instance or for
inspecting the time-dependent behaviour.
widget canvas
- Canvas widget to use
list tdata
- Series of dependent data
string tag
- Tag to give to the plotted data (defaults to xyplot)
::math::statistics::plot-tline canvas tdata tag
Create a simple XY plot in the given canvas - the data are shown as a line. See plot-tdata for
an explanation.
widget canvas
- Canvas widget to use
list tdata
- Series of dependent data
string tag
- Tag to give to the plotted data (defaults to xyplot)
::math::statistics::plot-histogram canvas counts limits tag
Create a simple histogram in the given canvas
widget canvas
- Canvas widget to use
list counts
- Series of bucket counts
list limits
- Series of upper limits for the buckets
string tag
- Tag to give to the plotted data (defaults to xyplot)
THINGS TO DO
The following procedures are yet to be implemented:
• F-test-stdev
• interval-mean-stdev
• histogram-normal
• histogram-exponential
• test-histogram
• test-corr
• quantiles-*
• fourier-coeffs
• fourier-residuals
• onepar-function-fit
• onepar-function-residuals
• plot-linear-model
• subdivide
EXAMPLES
The code below is a small example of how you can examine a set of data:
# Simple example:
# - Generate data (as a cheap way of getting some)
# - Perform statistical analysis to describe the data
#
package require math::statistics
#
# Two auxiliary procs
#
proc pause {time} {
set wait 0
after [expr {$time*1000}] {set ::wait 1}
vwait wait
}
proc print-histogram {counts limits} {
foreach count $counts limit $limits {
if { $limit != {} } {
puts [format "<%12.4g\t%d" $limit $count]
set prev_limit $limit
} else {
puts [format ">%12.4g\t%d" $prev_limit $count]
}
}
}
#
# Our source of arbitrary data
#
proc generateData { data1 data2 } {
upvar 1 $data1 _data1
upvar 1 $data2 _data2
set d1 0.0
set d2 0.0
for { set i 0 } { $i < 100 } { incr i } {
set d1 [expr {10.0-2.0*cos(2.0*3.1415926*$i/24.0)+3.5*rand()}]
set d2 [expr {0.7*$d2+0.3*$d1+0.7*rand()}]
lappend _data1 $d1
lappend _data2 $d2
}
return {}
}
#
# The analysis session
#
package require Tk
console show
canvas .plot1
canvas .plot2
pack .plot1 .plot2 -fill both -side top
generateData data1 data2
puts "Basic statistics:"
set b1 [::math::statistics::basic-stats $data1]
set b2 [::math::statistics::basic-stats $data2]
foreach label {mean min max number stdev var} v1 $b1 v2 $b2 {
puts "$label\t$v1\t$v2"
}
puts "Plot the data as function of \"time\" and against each other"
::math::statistics::plot-scale .plot1 0 100 0 20
::math::statistics::plot-scale .plot2 0 20 0 20
::math::statistics::plot-tline .plot1 $data1
::math::statistics::plot-tline .plot1 $data2
::math::statistics::plot-xydata .plot2 $data1 $data2
puts "Correlation coefficient:"
puts [::math::statistics::corr $data1 $data2]
pause 2
puts "Plot histograms"
::math::statistics::plot-scale .plot2 0 20 0 100
set limits [::math::statistics::minmax-histogram-limits 7 16]
set histogram_data [::math::statistics::histogram $limits $data1]
::math::statistics::plot-histogram .plot2 $histogram_data $limits
puts "First series:"
print-histogram $histogram_data $limits
pause 2
set limits [::math::statistics::minmax-histogram-limits 0 15 10]
set histogram_data [::math::statistics::histogram $limits $data2]
::math::statistics::plot-histogram .plot2 $histogram_data $limits d2
puts "Second series:"
print-histogram $histogram_data $limits
puts "Autocorrelation function:"
set autoc [::math::statistics::autocorr $data1]
puts [::math::statistics::map $autoc {[format "%.2f" $x]}]
puts "Cross-correlation function:"
set crossc [::math::statistics::crosscorr $data1 $data2]
puts [::math::statistics::map $crossc {[format "%.2f" $x]}]
::math::statistics::plot-scale .plot1 0 100 -1 4
::math::statistics::plot-tline .plot1 $autoc "autoc"
::math::statistics::plot-tline .plot1 $crossc "crossc"
puts "Quantiles: 0.1, 0.2, 0.5, 0.8, 0.9"
puts "First: [::math::statistics::quantiles $data1 {0.1 0.2 0.5 0.8 0.9}]"
puts "Second: [::math::statistics::quantiles $data2 {0.1 0.2 0.5 0.8 0.9}]"
If you run this example, then the following should be clear:
• There is a strong correlation between two time series, as displayed by the raw data and espe-
cially by the correlation functions.
• Both time series show a significant periodic component
• The histograms are not very useful in identifying the nature of the time series - they do not
show the periodic nature.
BUGS, IDEAS, FEEDBACK
This document, and the package it describes, will undoubtedly contain bugs and other problems.
Please report such in the category math :: statistics of the Tcllib SF Trackers [http://source -
forge.net/tracker/? group_id=12883]. Please also report any ideas for enhancements you may have for
either package and/or documentation.
KEYWORDS
data analysis, mathematics, statistics
CATEGORY
Mathematics
math 0.5 math::statistics(n)
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