Function correlation

src/compute-engine/numerics/statistics.ts:371–397

(
  xsI: Iterable<number>,
  ysI: Iterable<number>
)

export function bigPopulationCovariance(
  xs: Iterable<BigDecimal>,
  ys: Iterable<BigDecimal>
): BigDecimal {
  return bigCovImpl(xs, ys, true);
}

export function correlation(
  xsI: Iterable<number>,
  ysI: Iterable<number>
): number {
  const xs = [...xsI];
  const ys = [...ysI];
  const n = xs.length;
  if (n !== ys.length || n < 2) return NaN;
  let sx = 0;
  let sy = 0;
  let sxy = 0;
  let sx2 = 0;
  let sy2 = 0;
  for (let i = 0; i < n; i++) {
    sx += xs[i];
    sy += ys[i];
    sxy += xs[i] * ys[i];
    sx2 += xs[i] * xs[i];
    sy2 += ys[i] * ys[i];
  }
  const cov = sxy - (sx * sy) / n;
  const vx = sx2 - (sx * sx) / n;
  const vy = sy2 - (sy * sy) / n;
  const d = Math.sqrt(vx * vy);
  if (d === 0) return NaN; // zero variance → correlation undefined