Function rgsl::statistics::correlation

pub fn correlation(
    data1: &[f64],
    stride1: usize,
    data2: &[f64],
    stride2: usize,
    n: usize
) -> f64

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} }