Maxim Bolotin created HIVE-3455:
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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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