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correlation

PearsonsCorrelation computes correlations defined by the formula:

cor(X, Y) = sum[(xi - E(X))(yi - E(Y))] / [(n - 1)s(X)s(Y)]

where E(X) and E(Y) are means of X and Y and s(X), s(Y) are standard deviations.

Syntax​

correlation(list)

The list parameter is a list of variables which can be one of:

  • Timeseries
  • Reference to a Timeseries
  • String id of a Timeseries

Example​

Con = TimeSeries("2021-10-01", "BUSINESS", [8.12,1.19,2.82,4.1,-6.31,6.87,1.16,-0.63,1.25,0.93])
Man = TimeSeries("2021-10-01", "BUSINESS", [8.98,4.23,0.71,2.47,-8.29,7.34,-0.39,-2.18,3.86,-0.84])
Tech = TimeSeries("2021-10-01", "BUSINESS", [8.97,5.32,3.31,6,-7.75,7.51,3.38,-2.33,1.01,3.06])
Health = TimeSeries("2021-10-01", "BUSINESS", [5.25,3.23,0.48,-3.13,-3.37,6.84,-2.19,-0.61,-0.94,4.73])

lts = [Con, Man, Tech, Health]

print correlation(lts)

Output​

        Con         Man         Tech        Health
Con     1           0.926711    0.940898    0.627738
Man     0.926711    1           0.903867    0.660247
Tech    0.940898    0.903867    1           0.624856
Health  0.627738    0.660247    0.624856    1