ó áp7]c@ sªdZddlmZddlZddlmZddlZddlZ ddl m Z ddl m Z ddlmZd e fd „ƒYZd efd „ƒYZdS( s4Canonical correlation analysis author: Yichuan Liu iÿÿÿÿ(tdivisionN(tsvd(tModel(tsummary2i(tmultivariate_statstCanCorrcB s5eZdZdddd„Zdd„Zd„ZRS(s‘ Canonical correlation analysis using singluar value decomposition For matrices exog=x and endog=y, find projections x_cancoef and y_cancoef such that: x1 = x * x_cancoef, x1' * x1 is identity matrix y1 = y * y_cancoef, y1' * y1 is identity matrix and the correlation between x1 and y1 is maximized. Attributes ---------- endog : array See Parameters. exog : array See Parameters. cancorr : array The canonical correlation values y_cancoeff: array The canonical coeefficients for endog x_cancoeff: array The canonical coefficients for exog References ---------- .. [*] http://numerical.recipes/whp/notes/CanonCorrBySVD.pdf .. [*] http://www.csun.edu/~ata20315/psy524/docs/Psy524%20Lecture%208%20CC.pdf .. [*] http://www.mathematica-journal.com/2014/06/canonical-correlation-analysis/ g:Œ0âŽyE>tnonecK s9tt|ƒj||d|d|||j|ƒdS(Ntmissingthasconst(tsuperRt__init__t_fit(tselftendogtexogt toleranceRRtkwargs((s?lib/python2.7/site-packages/statsmodels/multivariate/cancorr.pyR 2s cC s-|jj\}}|jj\}}tj||gƒ}tj|jƒ}||jdƒ}tj|jƒ}||jdƒ}t|dƒ\}} } | j} | |k} | j ƒt | ƒkr×t dƒ‚n| dd…| fc| |  FtindexiiÿÿÿÿiiiN(R RRRtpowerRtpdt DataFrametlistRRtsqrttloctscipytstatstftsfR4tvaluesRtCanCorrTestResults(R R R!R"t eigenvalsR<tprodR2tptqtrR/tdf1tttdf2tlmdtFtpvaltindtstats_mv((s?lib/python2.7/site-packages/statsmodels/multivariate/cancorr.pyt corr_testasB %#   2 N(t__name__t __module__t__doc__tNoneR R RN(((s?lib/python2.7/site-packages/statsmodels/multivariate/cancorr.pyRs *R@cB s)eZdZd„Zd„Zd„ZRS(sÿ Canonical correlation results class Attributes ---------- stats : DataFrame Contain statistical tests results for each canonical correlation stats_mv : DataFrame Contain the multivariate statistical tests results cC s||_||_dS(N(R<RM(R R<RM((s?lib/python2.7/site-packages/statsmodels/multivariate/cancorr.pyR §s cC s|jƒjƒS(N(tsummaryt__str__(R ((s?lib/python2.7/site-packages/statsmodels/multivariate/cancorr.pyRT«scC setjƒ}|jdƒ|j|jƒ|jidd6ƒ|jidd6ƒ|j|jƒ|S(NsCancorr resultsts,Multivariate Statistics and F Approximations(RtSummaryt add_titletadd_dfR<tadd_dictRM(R tsumm((s?lib/python2.7/site-packages/statsmodels/multivariate/cancorr.pyRS®s  (RORPRQR RTRS(((s?lib/python2.7/site-packages/statsmodels/multivariate/cancorr.pyR@œs   (RQt __future__RtnumpyRt numpy.linalgRR;tpandasR6tstatsmodels.base.modelRtstatsmodels.iolibRtmultivariate_olsRRtobjectR@(((s?lib/python2.7/site-packages/statsmodels/multivariate/cancorr.pyts   ‰