public static double GetCorrelationBetween(TimeSeries ts1, TimeSeries ts2)
{
DateTime[] commonDomain = ts1.GetCommonDates(ts2)
.OrderBy(date => date)
.ToArray();
IEnumerable <double> x = commonDomain.Select(date => ts1[date]);
IEnumerable <double> y = commonDomain.Select(date => ts2[date]);
return(Correlation.Pearson(x, y));
}
