NAG FL Interface
g02bbf (coeffs_​pearson_​miss_​case)

1 Purpose

g02bbf computes means and standard deviations of variables, sums of squares and cross-products of deviations from means, and Pearson product-moment correlation coefficients for a set of data omitting completely any cases with a missing observation for any variable.

2 Specification

Fortran Interface
Subroutine g02bbf ( n, m, x, ldx, miss, xmiss, xbar, std, ssp, ldssp, r, ldr, ncases, ifail)
Integer, Intent (In) :: n, m, ldx, ldssp, ldr
Integer, Intent (Inout) :: miss(m), ifail
Integer, Intent (Out) :: ncases
Real (Kind=nag_wp), Intent (In) :: x(ldx,m)
Real (Kind=nag_wp), Intent (Inout) :: xmiss(m), ssp(ldssp,m), r(ldr,m)
Real (Kind=nag_wp), Intent (Out) :: xbar(m), std(m)
C Header Interface
#include <nag.h>
void  g02bbf_ (const Integer *n, const Integer *m, const double x[], const Integer *ldx, Integer miss[], double xmiss[], double xbar[], double std[], double ssp[], const Integer *ldssp, double r[], const Integer *ldr, Integer *ncases, Integer *ifail)
The routine may be called by the names g02bbf or nagf_correg_coeffs_pearson_miss_case.

3 Description

The input data consist of n observations for each of m variables, given as an array
xij,  i=1,2,,n n2,j=1,2,,mm2,  
where xij is the ith observation on the jth variable. In addition, each of the m variables may optionally have associated with it a value which is to be considered as representing a missing observation for that variable; the missing value for the jth variable is denoted by xmj. Missing values need not be specified for all variables.
Let wi=0 if observation i contains a missing value for any of those variables for which missing values have been declared, i.e., if xij=xmj for any j for which an xmj has been assigned (see also Section 7); and wi=1 otherwise, for i=1,2,,n.
The quantities calculated are:
  1. (a)Means:
    x¯j=i=1nwixij i=1nwi ,  j=1,2,,m.  
  2. (b)Standard deviations:
    sj= i= 1nwi xij-x¯j 2 i= 1nwi- 1 ,   j= 1,2,,m.  
  3. (c)Sums of squares and cross-products of deviations from means:
    Sjk=i=1nwixij-x¯jxik-x¯k,  j,k=1,2,,m.  
  4. (d)Pearson product-moment correlation coefficients:
    Rjk=SjkSjjSkk ,   j,k= 1,2,,m.  
    If Sjj or Skk is zero, Rjk is set to zero.

4 References

None.

5 Arguments

1: n Integer Input
On entry: n, the number of observations or cases.
Constraint: n2.
2: m Integer Input
On entry: m, the number of variables.
Constraint: m2.
3: xldxm Real (Kind=nag_wp) array Input
On entry: xij must be set to xij, the value of the ith observation on the jth variable, for i=1,2,,n and j=1,2,,m.
4: ldx Integer Input
On entry: the first dimension of the array x as declared in the (sub)program from which g02bbf is called.
Constraint: ldxn.
5: missm Integer array Input/Output
On entry: missj must be set equal to 1 if a missing value, xmj, is to be specified for the jth variable in the array x, or set equal to 0 otherwise. Values of miss must be given for all m variables in the array x.
On exit: the array miss is overwritten by the routine, and the information it contained on entry is lost.
6: xmissm Real (Kind=nag_wp) array Input/Output
On entry: xmissj must be set to the missing value, xmj, to be associated with the jth variable in the array x, for those variables for which missing values are specified by means of the array miss (see Section 7).
On exit: the array xmiss is overwritten by the routine, and the information it contained on entry is lost.
7: xbarm Real (Kind=nag_wp) array Output
On exit: the mean value, x¯j, of the jth variable, for j=1,2,,m.
8: stdm Real (Kind=nag_wp) array Output
On exit: the standard deviation, sj, of the jth variable, for j=1,2,,m.
9: sspldsspm Real (Kind=nag_wp) array Output
On exit: sspjk is the cross-product of deviations Sjk, for j=1,2,,m and k=1,2,,m.
10: ldssp Integer Input
On entry: the first dimension of the array ssp as declared in the (sub)program from which g02bbf is called.
Constraint: ldsspm.
11: rldrm Real (Kind=nag_wp) array Output
On exit: rjk is the product-moment correlation coefficient Rjk between the jth and kth variables, for j=1,2,,m and k=1,2,,m.
12: ldr Integer Input
On entry: the first dimension of the array r as declared in the (sub)program from which g02bbf is called.
Constraint: ldrm.
13: ncases Integer Output
On exit: the number of cases actually used in the calculations (when cases involving missing values have been eliminated).
14: ifail Integer Input/Output
On entry: ifail must be set to 0, -1 or 1 to set behaviour on detection of an error; these values have no effect when no error is detected.
A value of 0 causes the printing of an error message and program execution will be halted; otherwise program execution continues. A value of -1 means that an error message is printed while a value of 1 means that it is not.
If halting is not appropriate, the value -1 or 1 is recommended. If message printing is undesirable, then the value 1 is recommended. Otherwise, the value 0 is recommended. When the value -1 or 1 is used it is essential to test the value of ifail on exit.
On exit: ifail=0 unless the routine detects an error or a warning has been flagged (see Section 6).

6 Error Indicators and Warnings

If on entry ifail=0 or -1, explanatory error messages are output on the current error message unit (as defined by x04aaf).
Errors or warnings detected by the routine:
ifail=1
On entry, n=value.
Constraint: n2.
ifail=2
On entry, m=value.
Constraint: m2.
ifail=3
On entry, ldr=value and m=value.
Constraint: ldrm.
On entry, ldssp=value and m=value.
Constraint: ldsspm.
On entry, ldx=value and n=value.
Constraint: ldxn.
ifail=4
After observations with missing values were omitted, no cases remained.
ifail=5
After observations with missing values were omitted, only one case remained.
ifail=-99
An unexpected error has been triggered by this routine. Please contact NAG.
See Section 7 in the Introduction to the NAG Library FL Interface for further information.
ifail=-399
Your licence key may have expired or may not have been installed correctly.
See Section 8 in the Introduction to the NAG Library FL Interface for further information.
ifail=-999
Dynamic memory allocation failed.
See Section 9 in the Introduction to the NAG Library FL Interface for further information.

7 Accuracy

g02bbf does not use additional precision arithmetic for the accumulation of scalar products, so there may be a loss of significant figures for large n.
You are warned of the need to exercise extreme care in your selection of missing values. g02bbf treats all values in the inclusive range 1±0.1x02bef-2×xmj, where xmj is the missing value for variable j specified in xmiss.
You must therefore ensure that the missing value chosen for each variable is sufficiently different from all valid values for that variable so that none of the valid values fall within the range indicated above.

8 Parallelism and Performance

g02bbf is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
g02bbf makes calls to BLAS and/or LAPACK routines, which may be threaded within the vendor library used by this implementation. Consult the documentation for the vendor library for further information.
Please consult the X06 Chapter Introduction for information on how to control and interrogate the OpenMP environment used within this routine. Please also consult the Users' Note for your implementation for any additional implementation-specific information.

9 Further Comments

The time taken by g02bbf depends on n and m, and the occurrence of missing values.
The routine uses a two-pass algorithm.

9.1 Internal Changes

Internal changes have been made to this routine as follows:
For details of all known issues which have been reported for the NAG Library please refer to the Known Issues.

10 Example

This example reads in a set of data consisting of five observations on each of three variables. Missing values of 0.0 are declared for the first and third variables; no missing value is specified for the second variable. The means, standard deviations, sums of squares and cross-products of deviations from means, and Pearson product-moment correlation coefficients for all three variables are then calculated and printed, omitting completely all cases containing missing values; cases 3 and 4 are therefore eliminated, leaving only three cases in the calculations.

10.1 Program Text

Program Text (g02bbfe.f90)

10.2 Program Data

Program Data (g02bbfe.d)

10.3 Program Results

Program Results (g02bbfe.r)