Pearson Correlation Coefficient

Posted by marco
Tue, 01 Jul 2008 00:13:00 GMT

A small Ruby snippet to calculate the Pearson produt-moment correlation coefficient:

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#!/usr/bin/ruby

class Array 
   def sum
      inject( 0 ) { |sum,x| sum+x }
   end
   def sum_square
      inject( 0 ) { |sum,x| sum+x*x }
   end
   def mean
      sum / size
   end
   def *(other) # dot product
      ret = []
      return nil if !other.is_a? Array || size != other.size
      self.each_with_index {|x, i| ret << x * other[i]}
      ret.sum
   end
end


x = Array.new(100) {|i| i }
y = Array.new(100) {|i| -i*2 }


sumx = x.sum
sumy  = y.sum
num = (x.size * (x*y)) - (sumx * sumy)
den = Math.sqrt((x.size * x.sum_square) - sumx * sumx) * Math.sqrt((y.size * y.sum_square) - sumy * sumy)
r = num /den

puts "X= [#{x.join(', ')}]"
puts "Y= [#{y.join(', ')}]"
puts "r= #{r}"