/// <summary>
/// Returns standard deviation aggregator with all values in a collection aggregated.
/// </summary>
public static StdDevAggregator Calculate(IEnumerable <double> values)
{
var aggregator = new StdDevAggregator();
foreach (var value in values)
{
aggregator.Add(value);
}
return(aggregator);
}
public static double Correlation(double[] X, double[] Y)
{
if (X == null || Y == null ||
X.Length != Y.Length)
{
return(double.NaN);
}
var varianceCalcX = StdDevAggregator.Calculate(X);
var varianceCalcY = StdDevAggregator.Calculate(Y);
double corr = 0;
double meanX = varianceCalcX.Mean;
double meanY = varianceCalcY.Mean;
double varX = varianceCalcX.SampleVariance;
double varY = varianceCalcY.SampleVariance;
for (int i = 0; i < X.Length; i++)
{
corr += (X[i] - meanX) * (Y[i] - meanY);
}
corr /= Math.Sqrt(varX * varY) * X.Length;
return(corr);
}
