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https://issues.apache.org/jira/browse/HIVE-3455?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
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Maxim Bolotin updated HIVE-3455:
--------------------------------
Description:
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;
was:
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;
> 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: 0.7.1, 0.8.0, 0.8.1, 0.9.0, 0.10.0
> 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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