View Full Version : Is there a way to compute a running correlation coefficient?

March 14th, 2009, 07:17 PM
I'm trying to find a way to compute a correlation coefficient on a growing data set, without having to load the entire data set to recalculate each time an element is added.

For instance, this is possible with mean and standard deviation by keeping a sum of the values (and a sum of the square of the values for stDev).

Does anyone know of a method?

March 14th, 2009, 07:20 PM
Yes you can. What programming language are you using?

March 14th, 2009, 07:21 PM

I'm using python