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From "Maxim Bolotin (JIRA)" <j...@apache.org>
Subject [jira] [Created] (HIVE-3455) ANSI CORR(X,Y) is incorrect
Date Wed, 12 Sep 2012 22:51:08 GMT
Maxim Bolotin created HIVE-3455:
-----------------------------------

             Summary: ANSI CORR(X,Y) is incorrect
                 Key: HIVE-3455
                 URL: https://issues.apache.org/jira/browse/HIVE-3455
             Project: Hive
          Issue Type: Bug
          Components: UDF
    Affects Versions: 0.9.0, 0.8.0, 0.7.1
            Reporter: Maxim Bolotin


A simple test with 2 collinear vectors returns a wrong result.
The problem is the merge of variances, file:

http://svn.apache.org/viewvc/hive/trunk/ql/src/java/org/apache/hadoop/hive/ql/udf/generic/GenericUDAFCorrelation.java?revision=1157222&view=markup

lines:
347: myagg.xvar += xvarB + (xavgA-xavgB) * (xavgA-xavgB) * myagg.count;
348: myagg.yvar += yvarB + (yavgA-yavgB) * (yavgA-yavgB) * myagg.count;

the correct merge should be like this:
347: myagg.xvar += xvarB+(xavgA - xavgB)*(xavgA-xavgB)/myagg.count*nA*nB;
348: myagg.yvar += yvarB+(yavgA - yavgB)*(yavgA-yavgB)/myagg.count*nA*nB;



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