Struct RollingCorrelation

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pub struct RollingCorrelation { /* private fields */ }

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Rolling Pearson correlation with O(1) update per point.

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impl RollingCorrelation

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pub fn new(window: usize) -> Self

Creates a new rolling correlator with the given window size.

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pub fn compute( &self, x: &[f64], y: &[f64], ) -> Result<Vec<f64>, MultivariateError>

Compute rolling Pearson correlation between two series.

Auto Trait Implementations§

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impl UnwindSafe for RollingCorrelation

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