\rho_{xy} = \frac{{\rm cov}(x,y)}{\sigma(x) \sigma(y)} |
where
dynamic properties on the same discrete argument () | ||
| cross-property covariance | |
| ||
| standard deviation of property |
Pearson correlation coefficient ranges between -1 and 1 and indicates how close the two properties can be related by a linear correlation:
y_i = a x_i + b, \quad \forall \, i=1..N |
with a certain pick on and .