GoodnessOfFit: benchmarking indicates pearson correlation is twice as fast

src/Numerics/GoodnessOfFit/RSquared.cs → src/Numerics/GoodnessOfFit.cs

@@ -1,4 +1,4 @@
-// <copyright file="RSquared.cs">
+// <copyright file="GoodnessOfFit.cs">
 // Math.NET Numerics, part of the Math.NET Project
 // http://numerics.mathdotnet.com
 // http://github.com/mathnet/mathnet-numerics
@@ -26,13 +26,12 @@
 // OTHER DEALINGS IN THE SOFTWARE.
 // </copyright>
 
-using System;
 using System.Collections.Generic;
-using System.Linq;
+using MathNet.Numerics.Statistics;
 
-namespace MathNet.Numerics.GoodnessOfFit
+namespace MathNet.Numerics
 {
-    public static class RSquared
+    public static class GoodnessOfFit
     {
         /// <summary>
         /// Calculated the R-Squared value given modelled and observed values
@@ -40,32 +39,10 @@ namespace MathNet.Numerics.GoodnessOfFit
         /// <param name="modelledValues">The values expected from the modelled</param>
         /// <param name="observedValues">The actual data set values obtained</param>
         /// <returns></returns>
-        public static double RSqr(IEnumerable<double> modelledValues, IEnumerable<double> observedValues)
+        public static double RSquared(IEnumerable<double> modelledValues, IEnumerable<double> observedValues)
         {
-            var modelledData = modelledValues as double[] ?? modelledValues.ToArray();
+            var corr = Correlation.Pearson(modelledValues, observedValues);
-            var observedData = observedValues as double[] ?? observedValues.ToArray();
+            return corr * corr;
-            var observedDataCount = observedData.Count();
-            if ( modelledData.Count() != observedDataCount)
-            {
-                throw new ArgumentException("Dataset length mismatch");
-            }
-
-            var observedSum = observedData.Sum();
-            var modelledSum = modelledData.Sum();
-
-            var sumObservedByModelled = 0d;
-
-            for (var itemIndex = 0; itemIndex < observedDataCount; itemIndex++)
-            {
-                sumObservedByModelled += (observedData[itemIndex] * modelledData[itemIndex]);
-            }
-
-            var sumObservedSquared = observedData.Sum(item => item * item);
-            var sumModelledSquared = modelledData.Sum(item => item * item);
-
-            return Math.Pow(( observedDataCount * sumObservedByModelled - observedSum * modelledSum ) /
-                Math.Sqrt((observedDataCount * sumObservedSquared - Math.Pow(observedSum, 2)) 
-                    * (observedDataCount * sumModelledSquared - Math.Pow(modelledSum, 2))), 2);
         }
     }
 }

src/Numerics/Numerics.csproj

@@ -87,7 +87,7 @@
     <Reference Include="System.Xml" />
   </ItemGroup>
   <ItemGroup>
-    <Compile Include="GoodnessOfFit\RSquared.cs" />
+    <Compile Include="GoodnessOfFit.cs" />
     <Compile Include="Precision.Comparison.cs" />
     <Compile Include="Precision.Equality.cs" />
     <Compile Include="Distributions\Bernoulli.cs" />

src/UnitTests/GoodnessOfFit/RSquaredTest.cs

@@ -1,9 +1,5 @@
 using System;
 using System.Collections.Generic;
-using System.Linq;
-using System.Text;
-using System.Threading.Tasks;
-using MathNet.Numerics.GoodnessOfFit;
 using NUnit.Framework;
 
 namespace MathNet.Numerics.UnitTests.GoodnessOfFit
@@ -21,11 +17,11 @@ namespace MathNet.Numerics.UnitTests.GoodnessOfFit
             for (int i = 1; i <= 10; i++)
                 data.Add(i);
 
-            Assert.That(RSquared.RSqr(data, data), Is.EqualTo(1));
+            Assert.That(Numerics.GoodnessOfFit.RSquared(data, data), Is.EqualTo(1));
         }
 
         [Test]
-        [ExpectedException(typeof(ArgumentException))]
+        [ExpectedException(typeof(ArgumentOutOfRangeException))]
         public void WhenGivenTwoDatasetsOfDifferentSizeThenThrowsArgumentException()
         {
             var observedData = new List<double>()
@@ -49,7 +45,7 @@ namespace MathNet.Numerics.UnitTests.GoodnessOfFit
                 ,10
             };
 
-            RSquared.RSqr(modelledData, observedData);
+            Numerics.GoodnessOfFit.RSquared(modelledData, observedData);
 
             Assert.Fail("Expected ArgumentException exception wasn't thrown");
         }
@@ -67,7 +63,7 @@ namespace MathNet.Numerics.UnitTests.GoodnessOfFit
                 2.6, 2.8, 3.1, 4.7, 5.1, 5.3
             };
 
-            Assert.That(Math.Round(RSquared.RSqr(modelledData, observedData), 11), Is.EqualTo(Math.Round(0.94878520708673d, 11)));
+            Assert.That(Math.Round(Numerics.GoodnessOfFit.RSquared(modelledData, observedData), 11), Is.EqualTo(Math.Round(0.94878520708673d, 11)));
         }
     }
 }