G02BDF (PDF version)
G02 Chapter Contents
G02 Chapter Introduction
NAG Library Manual

NAG Library Routine Document

G02BDF

Note:  before using this routine, please read the Users' Note for your implementation to check the interpretation of bold italicised terms and other implementation-dependent details.

 Contents

    1  Purpose
    7  Accuracy

1  Purpose

G02BDF computes means and standard deviations of variables, sums of squares and cross-products about zero, and correlation-like coefficients for a set of data.

2  Specification

SUBROUTINE G02BDF ( N, M, X, LDX, XBAR, STD, SSPZ, LDSSPZ, RZ, LDRZ, IFAIL)
INTEGER  N, M, LDX, LDSSPZ, LDRZ, IFAIL
REAL (KIND=nag_wp)  X(LDX,M), XBAR(M), STD(M), SSPZ(LDSSPZ,M), RZ(LDRZ,M)

3  Description

The input data consists of n observations for each of m variables, given as an array
xij,  i=1,2,,nn2 ,  j=1,2,,mm2,  
where xij is the ith observation on the jth variable.
The quantities calculated are:
(a) Means:
x-j=1ni=1nxij,  j=1,2,,m.  
(b) Standard deviations:
sj=1n- 1 i= 1n xij-x-j 2,   j= 1,2,,m.  
(c) Sums of squares and cross-products about zero:
S~jk=i=1nxijxik,  j,k=1,2,,m.  
(d) Correlation-like coefficients:
R~jk=S~jkS~jjS~kk ,   j,k= 1,2,,m.  
If S~jj or S~kk is zero, R~jk is set to zero.

4  References

None.

5  Arguments

1:     N – INTEGERInput
On entry: n, the number of observations or cases.
Constraint: N2.
2:     M – INTEGERInput
On entry: m, the number of variables.
Constraint: M2.
3:     XLDXM – REAL (KIND=nag_wp) arrayInput
On entry: Xij must be set to the value of xij, the ith observation on the jth variable, for i=1,2,,n and j=1,2,,m.
4:     LDX – INTEGERInput
On entry: the first dimension of the array X as declared in the (sub)program from which G02BDF is called.
Constraint: LDXN.
5:     XBARM – REAL (KIND=nag_wp) arrayOutput
On exit: XBARj contains the mean value, x-j, of the jth variable, for j=1,2,,m.
6:     STDM – REAL (KIND=nag_wp) arrayOutput
On exit: the standard deviation, sj, of the jth variable, for j=1,2,,m.
7:     SSPZLDSSPZM – REAL (KIND=nag_wp) arrayOutput
On exit: SSPZjk is the cross-product about zero, S~jk, for j=1,2,,m and k=1,2,,m.
8:     LDSSPZ – INTEGERInput
On entry: the first dimension of the array SSPZ as declared in the (sub)program from which G02BDF is called.
Constraint: LDSSPZM.
9:     RZLDRZM – REAL (KIND=nag_wp) arrayOutput
On exit: RZjk is the correlation-like coefficient, R~jk, between the jth and kth variables, for j=1,2,,m and k=1,2,,m.
10:   LDRZ – INTEGERInput
On entry: the first dimension of the array RZ as declared in the (sub)program from which G02BDF is called.
Constraint: LDRZM.
11:   IFAIL – INTEGERInput/Output
On entry: IFAIL must be set to 0, -1​ or ​1. If you are unfamiliar with this argument you should refer to Section 3.4 in How to Use the NAG Library and its Documentation for details.
For environments where it might be inappropriate to halt program execution when an error is detected, the value -1​ or ​1 is recommended. If the output of error messages is undesirable, then the value 1 is recommended. Otherwise, if you are not familiar with this argument, the recommended value is 0. 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<2.
IFAIL=2
On entry,M<2.
IFAIL=3
On entry,LDX<N,
orLDSSPZ<M,
orLDRZ<M.
IFAIL=-99
An unexpected error has been triggered by this routine. Please contact NAG.
See Section 3.9 in How to Use the NAG Library and its Documentation for further information.
IFAIL=-399
Your licence key may have expired or may not have been installed correctly.
See Section 3.8 in How to Use the NAG Library and its Documentation for further information.
IFAIL=-999
Dynamic memory allocation failed.
See Section 3.7 in How to Use the NAG Library and its Documentation for further information.

7  Accuracy

G02BDF does not use additional precision arithmetic for the accumulation of scalar products, so there may be a loss of significant figures for large n.

8  Parallelism and Performance

G02BDF is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
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 G02BDF depends on n and m.
The routine uses a two-pass algorithm.

10  Example

This example reads in a set of data consisting of five observations on each of three variables. The means, standard deviations, sums of squares and cross-products about zero, and correlation-like coefficients for all three variables are then calculated and printed.

10.1  Program Text

Program Text (g02bdfe.f90)

10.2  Program Data

Program Data (g02bdfe.d)

10.3  Program Results

Program Results (g02bdfe.r)


G02BDF (PDF version)
G02 Chapter Contents
G02 Chapter Introduction
NAG Library Manual

© The Numerical Algorithms Group Ltd, Oxford, UK. 2016