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Correlation

viewed 3510 times and licensed 217 times
Calculates the correlation of a given set of data.
Controller: CodeCogs

Interface

C++

Correlation

 
template<class T>doublecorrelationint n1
T*data0
T*data1 )[inline]
The correlation coefficient provides a normalized view of correlation based on covariance:

where
  • \inline var(X) = variance of a set of data and
  • \inline cov(X,Y) = covariance of a set of data
  • \inline corr(X,Y) ranges from -1 (for negatively correlated variables) through zero (for uncorrelated variables) to +1
(for positively correlated variables).

While if X and Y are independent we have \inline corr(x,y)=0, the latter does not imply the former.

References:

PlanetMath, http:planetmath.org/encyclopedia/Covariance.html

Example 1

#include <codecogs/statistics/moments/correlation.h>
#include <iostream>
int main()
{
  int x[4] = {3 , 7 , 5 , 6 };
  int y[4] = {4 , 3 , 7 , 1 };
  double corr = Stats::Moments::correlation<int>(4, x , y);
  std::cout << "The correlation of x and y is: " << corr << std::endl;
  return 0;
}
Output:
The correlation of x and y is: -0.278132

Parameters

data1the actual population data given as the second array

Returns

the correlation of the given set of data

Authors

Anca Filibiu (August 2005)
Source Code

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