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
