corr

Introduced in: v1.1.0

Calculates the Pearson correlation coefficient:

\frac{\Sigma{(x - \bar{x})(y - \bar{y})}}{\sqrt{\Sigma{(x - \bar{x})^2} * \Sigma{(y - \bar{y})^2}}}

참고

This function uses a numerically unstable algorithm. If you need numerical stability in calculations, use the corrStable function. It is slower but provides a more accurate result.

Syntax

corr(x, y)

인수

x — 첫 번째 변수. (U)Int* 또는 Float*
y — 두 번째 변수. (U)Int* 또는 Float*

반환값

피어슨 상관 계수를 반환합니다. Float64

예시

기본 상관 계산

DROP TABLE IF EXISTS series;
CREATE TABLE series
(
    i UInt32,
    x_value Float64,
    y_value Float64
)
ENGINE = Memory;
INSERT INTO series(i, x_value, y_value) VALUES (1, 5.6, -4.4),(2, -9.6, 3),(3, -1.3, -4),(4, 5.3, 9.7),(5, 4.4, 0.037),(6, -8.6, -7.8),(7, 5.1, 9.3),(8, 7.9, -3.6),(9, -8.2, 0.62),(10, -3, 7.3);

SELECT corr(x_value, y_value)
FROM series

┌─corr(x_value, y_value)─┐
│     0.1730265755453256 │
└────────────────────────┘

corr​

corr