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Re: correlation coefficient
- From: Brian Gough <bjg at network-theory dot co dot uk>
- To: Patrick Alken <patrick dot alken at colorado dot edu>
- Cc: gsl-discuss at sourceware dot org
- Date: Fri, 16 Mar 2007 15:51:17 +0000
- Subject: Re: correlation coefficient
- References: <20070315230643.GA3334@hippogriff.physics.drexel.edu>
At Thu, 15 Mar 2007 17:06:43 -0600,
Patrick Alken wrote:
> 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).
Yes, sounds like a good idea to me. Go ahead and add it in
covariance_source.c if you have the 1-pass algorithm.
--
Brian Gough