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hub / github.com/Open-Quant/openquant / corrcoef

Function corrcoef

crates/openquant/tests/codependence.rs:32–50  ·  view source on GitHub ↗
(x: &[f64], y: &[f64])

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30}
31
32fn corrcoef(x: &[f64], y: &[f64]) -> f64 {
33 let n = x.len() as f64;
34 let mean_x = x.iter().sum::<f64>() / n;
35 let mean_y = y.iter().sum::<f64>() / n;
36
37 let mut cov = 0.0;
38 let mut var_x = 0.0;
39 let mut var_y = 0.0;
40
41 for (xi, yi) in x.iter().zip(y.iter()) {
42 let dx = xi - mean_x;
43 let dy = yi - mean_y;
44 cov += dx * dy;
45 var_x += dx * dx;
46 var_y += dy * dy;
47 }
48
49 cov / (var_x * var_y).sqrt()
50}
51
52#[test]
53fn test_correlations() {

Callers 1

test_number_of_binsFunction · 0.70

Calls 1

lenMethod · 0.80

Tested by

no test coverage detected