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
