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jdh30/CorrelationCoefficient.tq

Created November 21, 2022 12:00
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Computes the Pearson's rank correlation coefficient
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CorrelationCoefficient.tq
let pearsonsCorrelationCoefficient xys =
let n = Array.length xys in
let ∑xy, ∑x, ∑y, ∑x2, ∑y2 =
Array.fold [(∑xy, ∑x, ∑y, ∑x2, ∑y2), (x, y) →
∑xy+x*y, ∑x+x, ∑y+y, ∑x2+x*x, ∑y2+y*y]
(0, 0, 0, 0, 0) xys in
(n*∑xy-∑x*∑y)/(√(n*∑x2-∑x*∑x)*√(n*∑y2-∑y*∑y))
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