7.6.3 Scientific.Statistics.correlation

Description: Computes the correlation coefficient between two 1-dim arrays $a$ and $b$ according to

$$c_{ab} = {\langle (a-\bar a) (b-\bar b) \rangle \over \la... ... (a-\bar a)^2\rangle^{1/2} \langle (b-\bar b)^2\rangle^{1/2}}$$ (7.1)

Example:

  >>> correlation([1,2,3,4,5],[1,2,3,4,5])
  1.0
  >>> correlation([1,2,3,4,5],[1,2,3,5,5])
  0.96476382123773219
  >>> correlation([1,2,3,4,5],[5,4,3,2,1])
  -1.0