pims · June 18, 2010 05:04 · Jun 18, 2010 · Jun 18, 2010
diff --git a/runningCorrelation.py b/runningCorrelation.py
@@ -28,7 +28,7 @@ def __online_variance(self,x,y):
     self.variance_y = self.m2_y/(self.n - 1)
 
   def __online_covariance(self,x,y):
-    self.cov = self.cov + ((y - self.old_mean_y) * (x - self.old_mean_x)) * (self.n - 1) / self.n
+    self.cov = self.cov + ((y - self.old_mean_y) * (x - self.old_mean_x)) * (self.n - 1.0) / self.n
 
   def push(self,x,y):
     self.n = self.n + 1

diff --git a/runningCorrelation.py b/runningCorrelation.py
@@ -0,0 +1,66 @@
+#/usr/bin/env python
+import math
+
+class RunningCorrelation:
+  def __init__(self):
+    self.n = 0.0
+    self.mean_x = 0.0
+    self.mean_y = 0.0
+    self.m2_x = 0.0
+    self.m2_y = 0.0
+    self.cov = 0.0
+    self.variance_x = 0.0
+    self.variance_y = 0.0
+    self.old_mean_x = 0.0
+    self.old_mean_y = 0.0
+
+  def __online_variance(self,x,y):
+    delta_x = x - self.mean_x
+    delta_y = y - self.mean_y
+
+    self.mean_x = self.mean_x + delta_x / self.n
+    self.mean_y = self.mean_y + delta_y / self.n
+
+    self.m2_x = self.m2_x + delta_x * (x - self.mean_x)  # This expression uses the new value of mean
+    self.m2_y = self.m2_y + delta_y * (y - self.mean_y)  # This expression uses the new value of mean
+
+    self.variance_x = self.m2_x/(self.n - 1)
+    self.variance_y = self.m2_y/(self.n - 1)
+
+  def __online_covariance(self,x,y):
+    self.cov = self.cov + ((y - self.old_mean_y) * (x - self.old_mean_x)) * (self.n - 1) / self.n
+
+  def push(self,x,y):
+    self.n = self.n + 1
+
+    if self.n == 1:
+      self.mean_x = x
+      self.mean_y = y
+    else:
+      self.old_mean_x = self.mean_x
+      self.old_mean_y = self.mean_y
+
+      self.__online_variance(x,y)
+      self.__online_covariance(x,y)
+
+  @property
+  def r(self):
+    if self.cov > 0:
+     return self.cov / (math.sqrt(self.variance_x) * math.sqrt(self.variance_y))
+    return 0
+
+  @property
+  def variance(self):
+    return (self.variance_x,self.variance_y)
+
+def main():
+  rc = RunningCorrelation()
+  v1 = [2.5,3.5,3.0,3.5,2.5,3.0]
+  v2 = [3.0,3.5,1.5,5.0,3.5,3.0]
+
+  for x,y in zip(v1,v2):
+    rc.push(x,y)
+    print rc.r #value of r is wrong, and is twice the correct value on the first pass > 1
+
+if __name__ == '__main__':
+  main()