Correlation

A very simple crate that implements the calculation of correlation coefficients.

Usage

This crate implements:

• The Pearson correlation coefficient (https://en.wikipedia.org/wiki/Pearson_correlation_coefficient).
• The Spearman's rank correlation coefficient (https://en.wikipedia.org/wiki/Spearman's_rank_correlation_coefficient).
• The Kendall rank correlation coefficient (https://en.wikipedia.org/wiki/Kendall_rank_correlation_coefficient#Tau-a).

Pearson

use correlation::pearsonr;

fn main() {
    let result = pearsonr(&vec![1.,2.,3.], &vec![1., 2., 3.]);
    let expected = 1.;
    assert!((result - expected).abs() <= 1e-7);
}

Spearman

use correlation::spearmanr;

fn main() {
    let result = spearmanr(&vec![1.,2.,3.], &vec![1., 2., 3.]);
    let expected = 1.;
    assert!((result - expected).abs() <= 1e-7);
}

Kendall (variant Tau-A)

use correlation::kendalltau;

fn main() {
    let result = kendalltau(&vec![1.,2.,3.], &vec![1., 2., 3.]);
    let expected = 1.;
    assert!((result - expected).abs() <= 1e-7);
}

Tests

These functions have been tested against their scipy.stats counterparts.

TODO

• Add Kendall Tau-B variant
• Add Kendall Tau-C variant