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correlation coefficient
- From: Patrick Alken <patrick dot alken at colorado dot edu>
- To: gsl-discuss at sourceware dot org
- Date: Thu, 15 Mar 2007 17:06:43 -0600
- Subject: correlation coefficient
Hi,
Is there any interest in putting a new function in the
statistics area for calculating the Pearson correlation coefficient?
I think this can be done safely in gsl by just using
r = gsl_stats_covariance(x,y) / (gsl_stats_sd(x) * gsl_stats_sd(y))
but it would be more efficient to calculate everything in 1 pass
through the data and I believe there is a stable algorithm to do
this (similar to how the mean/variance is calculated). This is
such a common function for people who work with data so I think
it'd be nice to have it in gsl :)
Patrick Alken