[Scipy-tickets] [SciPy] #95: Statistics Review: corrcoef

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Fri Jun 30 11:16:44 CDT 2006


#95: Statistics Review: corrcoef
-------------------------+--------------------------------------------------
 Reporter:  rkern        |        Owner:  rkern                   
     Type:  review       |       Status:  assigned                
 Priority:  normal       |    Milestone:  Statistics Review Months
Component:  scipy.stats  |      Version:  devel                   
 Severity:  normal       |   Resolution:                          
 Keywords:               |  
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Comment (by arauzo):

 This function is not numerically stable. As commented in wikipedia[1] this
 simple test fails (should give correlation factor equal to -1):

 >>> import scipy
 >>> x=[90000000+i for i in range(1,101)]
 >>> y=[90000000-i for i in range(1,101)]
 >>> scipy.corrcoef(x,y)[0,1]
 0.99975752174036214

 [1]
 http://en.wikipedia.org/wiki/Statistical_correlation#Computing_correlation_accurately_in_a_single_pass

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