Allow computing the correlation matrix from the covariance matrix only

[ASaragga]

Following discussions concerning issue JuliaStats/StatsBase.jl#652.

[codecov]

Codecov Report

Merging #75 (3c30462) into master (862798b) will not change coverage.
The diff coverage is n/a.

@@          Coverage Diff           @@
##           master     #75   +/-   ##
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  Coverage    0.00%   0.00%           
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  Files           1       1           
  Lines         387     455   +68     
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- Misses        387     455   +68     

Impacted Files	Coverage Δ
src/Statistics.jl	0.00% <ø> (ø)

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[nalimilan]

Thanks. Can you add a test? Otherwise the function might break at any time without anybody noticing.

[ASaragga]

Certainly. Already tried the obvious @test cov2cor(cov1) ≈ cor1 @test cov2cor(cov2) ≈ cor2 but it throws an error...

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On 19 Feb 2021, at 09:01, Milan Bouchet-Valat ***@***.***> wrote: Thanks. Can you add a test? Otherwise the function might break at any time without anybody noticing. — You are receiving this because you authored the thread. Reply to this email directly, view it on GitHub <https://github.com/JuliaLang/Statistics.jl/pull/75#issuecomment-781935829>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/ALJ5RCBLRR3M5YZ4XZDIBEDS7YSGDANCNFSM4XWX3GUQ>.

[nalimilan]

What kind of error?

[ASaragga]

The cov2cor test errors because it is not considering the method cov2cor!(::Array{Float64,2}) that was added to Statistics.jl. Sorry about this. The error is cov2cor: Error During Test at /home/runner/work/StatsBase.jl/StatsBase.jl/test/cov.jl:127 143 <https://github.com/JuliaStats/StatsBase.jl/pull/662/checks?check_run_id=1942164575#step:6:143> Test threw exception 144 <https://github.com/JuliaStats/StatsBase.jl/pull/662/checks?check_run_id=1942164575#step:6:144> Expression: cov2cor(cov1) ≈ cor1 145 <https://github.com/JuliaStats/StatsBase.jl/pull/662/checks?check_run_id=1942164575#step:6:145> MethodError: no method matching cov2cor!(::Array{Float64,2})

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On 19 Feb 2021, at 14:46, Milan Bouchet-Valat ***@***.***> wrote: What kind of error? — You are receiving this because you authored the thread. Reply to this email directly, view it on GitHub <https://github.com/JuliaLang/Statistics.jl/pull/75#issuecomment-782119403>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/ALJ5RCAD53UUZJJCLELT52DS7Z2S7ANCNFSM4XWX3GUQ>.

[nalimilan]

Well we're in Statistics.jl here, not in StatsBase. :-/

[ASaragga]

Indeed! Tests for the family of cov2cor methods in Statistics.jl appear to be missing?! Tried to follow some examples to keep the same style of tests. Sorry it is taking so long...

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On 20 Feb 2021, at 14:47, Milan Bouchet-Valat ***@***.***> wrote: Well we're in Statistics.jl here, not in StatsBase. :-/ — You are receiving this because you authored the thread. Reply to this email directly, view it on GitHub <https://github.com/JuliaLang/Statistics.jl/pull/75#issuecomment-782692657>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/ALJ5RCDLDOBNOQUCGYWTDZ3S77DO7ANCNFSM4XWX3GUQ>.

[nalimilan]

These are only internal functions in Statistics, so they are only tested indirectly via cor.