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CorrelationCriterion may return micro variance

yzanyzan Member Posts: 66 Unicorn
Currently, correlation estimate on a dataset does not return any variance estimate. A reasonable estimate can be obtained with:
@Override
public double getMikroVariance() {
// Reference: ESTIMATION OF SAMPLING VARIANCE OF CORRELATIONS IN META‐ANALYSIS, equation 1.
// https://doi.org/10.1111/j.1744-6570.2001.tb00223.x
// Available from: http://www.hermanaguinis.com/PP2001.pdf
// Limitations: This estimate assumes that label and plabel follow a bivariate normal distribution.
// Also, this estimate is optimistically biased when the count of samples is below 100.
double r2 = Math.pow(getMikroAverage(), 2);
return Math.pow(1 - r2, 2) / (exampleCount - 1);
}



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    MartinLiebigMartinLiebig Administrator, Moderator, Employee, RapidMiner Certified Analyst, RapidMiner Certified Expert, University Professor Posts: 3,517 RM Data Scientist
    Thanks, we will have a look!

    CC @IngoRM for AutoModel
    - Sr. Director Data Solutions, Altair RapidMiner -
    Dortmund, Germany
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