correlation_coefficient — aggregate function to return the correlation coefficient of two ranges of values.
This function takes the name of two fields of type double in the aggregate window, or two predicate expressions that contain the names of two such fields, and returns a value between −1.0 and 1.0 that represents the correlation coefficient of the two ranges. For example, one field could represent a stock's price while the second represents a stock price index; the result is a number that encapsulates the quality of a linear least squares fit to the data. A correlation coefficient of −1.0 indicates perfect negative correlation; 1.0 indicates perfect positive correlation; and 0 means no correlation.
If the query returns no rows to the aggregate's window, the function returns
null. If the query returns a row count of 1 or −1, or if
there is a sequence of identical values in the two fields, the result is 1.0.
This function calculates its return value based on the unbiased or n-1 method, and is usually used when the incoming data represents a random sample of data. See correlation_coefficientp for a similar function that calculates its return value using the biased or n method, which is used when the incoming data represents an entire population of data.
This LiveView aggregate function is based on the correlation_coefficient aggregate function in the StreamBase expression language.