Reference/cor

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= cor =
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{{refheader|cor|correlation verb}}
  
Dyadic aggregation function. Returns the correlation of its arguments as floating point number between -1f and 1f. Applies to all numeric data types and throws error with temporal types, char and sym. Perfectly correlated data results in a 1 or a -1. When one variable increases as the other increases the correlation is positive; when one decreases as the other increases it is negative, completely uncorrelated gives a 0f. Arguments must be of the same length.
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Returns the correlation of its arguments as a floating point number between <tt>-1f</tt> and <tt>1f</tt>. Perfectly correlated data results in a <tt>1</tt> or <tt>-1</tt>. When one variable increases as the other increases the correlation is positive; when one decreases as the other increases it is negative. Completely uncorrelated arguments return <tt>0f</tt>. Arguments must be of the same length.
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<tt>cor</tt> applies to all numeric data types and throws an error with temporal types, char and sym.
  
 
== Syntax ==
 
== Syntax ==
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<pre>
 
<pre>
 
q)r:X cor Y
 
q)r:X cor Y
q)r:cor[X;Y]
 
 
</pre>
 
</pre>
  
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<pre>
 
<pre>
q)cor[10 23 54;3 1 9]
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q)29 10 54 cor 1 3 9
0.8606638
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0.7727746
q)select price cor size by sym from trade where date=2001.10.12,sym in`SUNW`A
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q)10 29 54 cor 1 3 9
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0.9795734
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q)1 3 9 cor neg 1 3 9
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-1f
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q)select price cor size by sym from trade
 
</pre>
 
</pre>
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== See also ==
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*[[Reference/cov|covariance]]
  
 
----
 
----
 
For a complete list of functions, see the [[Reference|kdb+ Function Reference]].
 
For a complete list of functions, see the [[Reference|kdb+ Function Reference]].

Revision as of 09:35, 12 October 2009

Contents

cor (correlation verb)

Returns the correlation of its arguments as a floating point number between -1f and 1f. Perfectly correlated data results in a 1 or -1. When one variable increases as the other increases the correlation is positive; when one decreases as the other increases it is negative. Completely uncorrelated arguments return 0f. Arguments must be of the same length.

cor applies to all numeric data types and throws an error with temporal types, char and sym.

Syntax

q)r:X cor Y

Example

q)29 10 54 cor 1 3 9
0.7727746
q)10 29 54 cor 1 3 9
0.9795734
q)1 3 9 cor neg 1 3 9
-1f

q)select price cor size by sym from trade

See also


For a complete list of functions, see the kdb+ Function Reference.

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