Module correlation

Covariance and correlation helpers.

This module provides routines for measuring the relationship between columns or rows of matrices.

use rustframe::compute::stats::correlation;
use rustframe::matrix::Matrix;

let x = Matrix::from_vec(vec![1.0, 2.0, 3.0, 4.0], 2, 2);
let cov = correlation::covariance(&x, &x);
assert!((cov - 1.25).abs() < 1e-8);

Functions

covariance

Population covariance between two equally-sized matrices (flattened)

covariance_horizontal

Covariance between rows (i.e. across columns)

covariance_matrix

Calculates the covariance matrix of the input data. Assumes input x is (n_samples, n_features).

covariance_vertical

Covariance between columns (i.e. across rows)

pearson