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20.6 Correlation

Function: double gsl_stats_correlation (const double data1[], const size_t stride1, const double data2[], const size_t stride2, const size_t n)

This function efficiently computes the Pearson correlation coefficient between the datasets data1 and data2 which must both be of the same length n.

r = cov(x, y) / (\Hat\sigma_x \Hat\sigma_y)
  = {1/(n-1) \sum (x_i - \Hat x) (y_i - \Hat y)
     \over
     \sqrt{1/(n-1) \sum (x_i - \Hat x)^2} \sqrt{1/(n-1) \sum (y_i - \Hat y)^2}
    }