corrcoef.hpp

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#pragma once
 
#include "NumCpp/Core/Internal/StaticAsserts.hpp"
#include "NumCpp/Functions/cov.hpp"
#include "NumCpp/Functions/empty_like.hpp"
#include "NumCpp/Functions/sqrt.hpp"
#include "NumCpp/NdArray.hpp"
 
namespace nc
{
    //============================================================================
    // Method Description:
    template<typename dtype>
    NdArray<double> corrcoef(const NdArray<dtype>& x)
    {
        STATIC_ASSERT_ARITHMETIC_OR_COMPLEX(dtype);
 
        const auto covariance           = cov(x);
        auto       normalizedCovariance = empty_like(covariance);
        for (decltype(covariance.numRows()) i = 0; i < covariance.numRows(); ++i)
        {
            for (decltype(covariance.numCols()) j = 0; j < covariance.numCols(); ++j)
            {
                normalizedCovariance(i, j) = covariance(i, j) / sqrt(covariance(i, i) * covariance(j, j));
            }
        }
 
        return normalizedCovariance;
    }
} // namespace nc