Correlation of two arrays in C#

You can have the values in separate lists at the same index and use a simple Zip.

var fitResult = new FitResult();var values1 = new List<int>();var values2 = new List<int>();var correls = values1.Zip(values2, (v1, v2) =>                                       fitResult.CorrelationCoefficient(v1, v2));

A second way is to write your own custom implementation (mine isn't optimized for speed):

public double ComputeCoeff(double[] values1, double[] values2){    if(values1.Length != values2.Length)        throw new ArgumentException("values must be the same length");    var avg1 = values1.Average();    var avg2 = values2.Average();    var sum1 = values1.Zip(values2, (x1, y1) => (x1 - avg1) * (y1 - avg2)).Sum();    var sumSqr1 = values1.Sum(x => Math.Pow((x - avg1), 2.0));    var sumSqr2 = values2.Sum(y => Math.Pow((y - avg2), 2.0));    var result = sum1 / Math.Sqrt(sumSqr1 * sumSqr2);    return result;}

Usage:

var values1 = new List<double> { 3, 2, 4, 5 ,6 };var values2 = new List<double> { 9, 7, 12 ,15, 17 };var result = ComputeCoeff(values1.ToArray(), values2.ToArray());// 0.997054485501581Debug.Assert(result.ToString("F6") == "0.997054");

Another way is to use the Excel function directly:

var values1 = new List<double> { 3, 2, 4, 5 ,6 };var values2 = new List<double> { 9, 7, 12 ,15, 17 };// Make sure to add a reference to Microsoft.Office.Interop.Excel.dll// and use the namespacevar application = new Application();var worksheetFunction = application.WorksheetFunction;var result = worksheetFunction.Correl(values1.ToArray(), values2.ToArray());Console.Write(result); // 0.997054485501581

Math.NET Numerics is a well-documented math library that contains a Correlation class. It calculates Pearson and Spearman ranked correlations: http://numerics.mathdotnet.com/api/MathNet.Numerics.Statistics/Correlation.htm

The library is available under the very liberal MIT/X11 license. Using it to calculate a correlation coefficient is as easy as follows:

using MathNet.Numerics.Statistics;...correlation = Correlation.Pearson(arrayOfValues1, arrayOfValues2);

Good luck!

In order to calculate Pearson product-moment correlation coefficient

http://en.wikipedia.org/wiki/Pearson_product-moment_correlation_coefficient

You can use this simple code:

  public static Double Correlation(Double[] Xs, Double[] Ys) {    Double sumX = 0;    Double sumX2 = 0;    Double sumY = 0;    Double sumY2 = 0;    Double sumXY = 0;    int n = Xs.Length < Ys.Length ? Xs.Length : Ys.Length;    for (int i = 0; i < n; ++i) {      Double x = Xs[i];      Double y = Ys[i];      sumX += x;      sumX2 += x * x;      sumY += y;      sumY2 += y * y;      sumXY += x * y;    }    Double stdX = Math.Sqrt(sumX2 / n - sumX * sumX / n / n);    Double stdY = Math.Sqrt(sumY2 / n - sumY * sumY / n / n);    Double covariance = (sumXY / n - sumX * sumY / n / n);    return covariance / stdX / stdY;   }