Correlation

Correlation(a, b)

computes Pearson’s correlation of two equal-sized vectors a and b.

See:

• Wikipedia - Pearson correlation coefficient

Examples

>> Correlation({a,b},{c,d})
((a-b)*(Conjugate(c)-Conjugate(d)))/(Sqrt((a-b)*(Conjugate(a)-Conjugate(b)))*Sqrt((c-d)*(Conjugate(c)-Conjugate(d))))

>> Correlation({10, 8, 13, 9, 11, 14, 6, 4, 12, 7, 5}, {8.04, 6.95, 7.58, 8.81, 8.33, 9.96, 7.24, 4.26, 10.84, 4.82, 5.68})
0.81642

Implementation status

• ✅ - full supported

Github

• Implementation of Correlation