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Compute a sample Pearson productmoment correlation coefficient incrementally.
The Pearson productmoment correlation coefficient between random variables X
and Y
is defined as
where the numerator is the covariance and the denominator is the product of the respective standard deviations.
For a sample of size n
, the sample Pearson productmoment correlation coefficient is defined as
npm install @stdlib/statsincrpcorr
var incrpcorr = require( '@stdlib/statsincrpcorr' );
Returns an accumulator function
which incrementally computes a sample Pearson productmoment correlation coefficient.
var accumulator = incrpcorr();
If the means are already known, provide mx
and my
arguments.
var accumulator = incrpcorr( 3.0, 5.5 );
If provided input value x
and y
, the accumulator function returns an updated sample correlation coefficient. If not provided input values x
and y
, the accumulator function returns the current sample correlation coefficient.
var accumulator = incrpcorr();
var v = accumulator( 2.0, 1.0 );
// returns 0.0
v = accumulator( 1.0, 5.0 );
// returns 1.0
v = accumulator( 3.0, 3.14 );
// returns ~0.965
v = accumulator();
// returns ~0.965
 Input values are not type checked. If provided
NaN
or a value which, when used in computations, results inNaN
, the accumulated value isNaN
for all future invocations. If nonnumeric inputs are possible, you are advised to type check and handle accordingly before passing the value to the accumulator function.
var randu = require( '@stdlib/randombaserandu' );
var incrpcorr = require( '@stdlib/statsincrpcorr' );
var accumulator;
var x;
var y;
var i;
// Initialize an accumulator:
accumulator = incrpcorr();
// For each simulated datum, update the sample correlation coefficient...
for ( i = 0; i < 100; i++ ) {
x = randu() * 100.0;
y = randu() * 100.0;
accumulator( x, y );
}
console.log( accumulator() );

@stdlib/statsincr/covariance
: compute an unbiased sample covariance incrementally. 
@stdlib/statsincr/mpcorr
: compute a moving sample Pearson productmoment correlation coefficient incrementally. 
@stdlib/statsincr/summary
: compute a statistical summary incrementally.
This package is part of stdlib, a standard library for JavaScript and Node.js, with an emphasis on numerical and scientific computing. The library provides a collection of robust, high performance libraries for mathematics, statistics, streams, utilities, and more.
For more information on the project, filing bug reports and feature requests, and guidance on how to develop stdlib, see the main project repository.
See LICENSE.
Copyright © 20162024. The Stdlib Authors.