mirror of
https://github.com/ClickHouse/ClickHouse.git
synced 2024-11-18 05:32:52 +00:00
75 lines
2.2 KiB
C++
75 lines
2.2 KiB
C++
#include <AggregateFunctions/AggregateFunctionFactory.h>
|
|
#include <AggregateFunctions/AggregateFunctionTTest.h>
|
|
#include <AggregateFunctions/FactoryHelpers.h>
|
|
#include <AggregateFunctions/Moments.h>
|
|
|
|
#include "registerAggregateFunctions.h"
|
|
|
|
|
|
namespace ErrorCodes
|
|
{
|
|
extern const int BAD_ARGUMENTS;
|
|
}
|
|
|
|
|
|
namespace DB
|
|
{
|
|
|
|
namespace
|
|
{
|
|
|
|
struct WelchTTestData : public TTestMoments<Float64>
|
|
{
|
|
static constexpr auto name = "welchTTest";
|
|
|
|
std::pair<Float64, Float64> getResult() const
|
|
{
|
|
Float64 mean_x = x1 / nx;
|
|
Float64 mean_y = y1 / ny;
|
|
|
|
/// s_x^2, s_y^2
|
|
|
|
/// The original formulae looks like \frac{1}{size_x - 1} \sum_{i = 1}^{size_x}{(x_i - \bar{x}) ^ 2}
|
|
/// But we made some mathematical transformations not to store original sequences.
|
|
/// Also we dropped sqrt, because later it will be squared later.
|
|
|
|
Float64 sx2 = (x2 + nx * mean_x * mean_x - 2 * mean_x * x1) / (nx - 1);
|
|
Float64 sy2 = (y2 + ny * mean_y * mean_y - 2 * mean_y * y1) / (ny - 1);
|
|
|
|
/// t-statistic
|
|
Float64 t_stat = (mean_x - mean_y) / sqrt(sx2 / nx + sy2 / ny);
|
|
|
|
/// degrees of freedom
|
|
|
|
Float64 numerator_sqrt = sx2 / nx + sy2 / ny;
|
|
Float64 numerator = numerator_sqrt * numerator_sqrt;
|
|
|
|
Float64 denominator_x = sx2 * sx2 / (nx * nx * (nx - 1));
|
|
Float64 denominator_y = sy2 * sy2 / (ny * ny * (ny - 1));
|
|
|
|
Float64 degrees_of_freedom = numerator / (denominator_x + denominator_y);
|
|
|
|
return {t_stat, getPValue(degrees_of_freedom, t_stat * t_stat)};
|
|
}
|
|
};
|
|
|
|
AggregateFunctionPtr createAggregateFunctionWelchTTest(const std::string & name, const DataTypes & argument_types, const Array & parameters)
|
|
{
|
|
assertBinary(name, argument_types);
|
|
assertNoParameters(name, parameters);
|
|
|
|
if (!isNumber(argument_types[0]) || !isNumber(argument_types[1]))
|
|
throw Exception("Aggregate function " + name + " only supports numerical types", ErrorCodes::BAD_ARGUMENTS);
|
|
|
|
return std::make_shared<AggregateFunctionTTest<WelchTTestData>>(argument_types);
|
|
}
|
|
|
|
}
|
|
|
|
void registerAggregateFunctionWelchTTest(AggregateFunctionFactory & factory)
|
|
{
|
|
factory.registerFunction("welchTTest", createAggregateFunctionWelchTTest);
|
|
}
|
|
|
|
}
|