> 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 :)
I've been working on a library of stats functions to complement the GSL, so it naturally includes a correlation matrix function (apop_correlation_matrix). The library home page is at http://apophenia.info . There's an accompanying book whose home page (this week) is at http://avocado.econ.jhu.edu/modeling . Responding to your request for a covariance with an entire package may be overkill, but I assume if you're looking for one statistic, you're probably looking for several more. Regards, BK
