A cross-platform library of original mathematical functions – library MetaTrader 5
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The library description format is taken from an articles to the standard math. library, which is compatible with this library.
MathCorrelationPearson
The function calculates the Pearson correlation coefficients for each point of the original series, while making appropriate comparisons with the given Pattern.
bool MathCorrelationPearson( constdouble &Signal[],  // [in]  An array for comparing with the pattern
                            constdouble &Pattern[], // [in]  Pattern for calculating the Pearson coefficient
                            double &Corr[] );        // [out] An array with the values of Pearson coefficients
Table of correspondence to the statistical functions in R
No.
Calculated value
MQL5 Function
R Function
1
Calculates an array of Pearson correlation coefficient.
An example of operation and and performance measurement in comparison with alternative implementations is available in Scripts\fxsaber\Math\TestStatBenchmark.mq5.
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