@stdlib/stats-incr-pcorr
v0.2.3TypeScript
Compute a sample Pearson product-moment correlation coefficient.
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Published by The Stdlib Authors
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incrpcorr
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> Compute a [sample Pearson product-moment correlation coefficient][pearson-correlation] incrementally.
The [Pearson product-moment correlation coefficient][pearson-correlation] between random variables X and Y is defined as
where the numerator is the [covariance][covariance] and the denominator is the product of the respective standard deviations.
For a sample of size n, the [sample Pearson product-moment correlation coefficient][pearson-correlation] is defined as
Installation
``bash`
npm install @stdlib/stats-incr-pcorr
Usage
`javascript`
var incrpcorr = require( '@stdlib/stats-incr-pcorr' );
#### incrpcorr( \[mx, my] )
Returns an accumulator function which incrementally computes a [sample Pearson product-moment correlation coefficient][pearson-correlation].
`javascript`
var accumulator = incrpcorr();
If the means are already known, provide mx and my arguments.
`javascript`
var accumulator = incrpcorr( 3.0, -5.5 );
#### accumulator( \[x, y] )
If provided input value x and y, the accumulator function returns an updated [sample correlation coefficient][pearson-correlation]. If not provided input values x and y, the accumulator function returns the current [sample correlation coefficient][pearson-correlation].
`javascript
var accumulator = incrpcorr();
var v = accumulator( 2.0, 1.0 );
// returns 0.0
v = accumulator( 1.0, -5.0 );
// returns 1.0
v = accumulator( 3.0, 3.14 );
// returns ~0.965
v = accumulator();
// returns ~0.965
`
Notes
- Input values are not type checked. If provided NaN or a value which, when used in computations, results in NaN, the accumulated value is NaN for all future invocations. If non-numeric inputs are possible, you are advised to type check and handle accordingly before passing the value to the accumulator function.
Examples
`javascript
var randu = require( '@stdlib/random-base-randu' );
var incrpcorr = require( '@stdlib/stats-incr-pcorr' );
var accumulator;
var x;
var y;
var i;
// Initialize an accumulator:
accumulator = incrpcorr();
// For each simulated datum, update the sample correlation coefficient...
for ( i = 0; i < 100; i++ ) {
x = randu() * 100.0;
y = randu() * 100.0;
accumulator( x, y );
}
console.log( accumulator() );
`
*
See Also
- [@stdlib/stats-incr/covariance][@stdlib/stats/incr/covariance]: compute an unbiased sample covariance incrementally.
- [@stdlib/stats-incr/mpcorr][@stdlib/stats/incr/mpcorr]: compute a moving sample Pearson product-moment correlation coefficient incrementally.
- [@stdlib/stats-incr/summary][@stdlib/stats/incr/summary]: compute a statistical summary incrementally.
*
Notice
This package is part of [stdlib][stdlib], a standard library for JavaScript and Node.js, with an emphasis on numerical and scientific computing. The library provides a collection of robust, high performance libraries for mathematics, statistics, streams, utilities, and more.
For more information on the project, filing bug reports and feature requests, and guidance on how to develop [stdlib][stdlib], see the main project [repository][stdlib].
#### Community
[![Chat][chat-image]][chat-url]
---
License
See [LICENSE][stdlib-license].
Copyright
Copyright © 2016-2026. The Stdlib [Authors][stdlib-authors].
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[umd]: https://github.com/umdjs/umd
[es-module]: https://developer.mozilla.org/en-US/docs/Web/JavaScript/Guide/Modules
[deno-url]: https://github.com/stdlib-js/stats-incr-pcorr/tree/deno
[deno-readme]: https://github.com/stdlib-js/stats-incr-pcorr/blob/deno/README.md
[umd-url]: https://github.com/stdlib-js/stats-incr-pcorr/tree/umd
[umd-readme]: https://github.com/stdlib-js/stats-incr-pcorr/blob/umd/README.md
[esm-url]: https://github.com/stdlib-js/stats-incr-pcorr/tree/esm
[esm-readme]: https://github.com/stdlib-js/stats-incr-pcorr/blob/esm/README.md
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[stdlib-license]: https://raw.githubusercontent.com/stdlib-js/stats-incr-pcorr/main/LICENSE
[pearson-correlation]: https://en.wikipedia.org/wiki/Pearson_correlation_coefficient
[covariance]: https://en.wikipedia.org/wiki/Covariance
[@stdlib/stats/incr/covariance]: https://www.npmjs.com/package/@stdlib/stats-incr-covariance
[@stdlib/stats/incr/mpcorr]: https://www.npmjs.com/package/@stdlib/stats-incr-mpcorr
[@stdlib/stats/incr/summary]: https://www.npmjs.com/package/@stdlib/stats-incr-summary