CorrCoef

Python C-extension for memory efficient and multithreaded Pearson product-moment correlation coefficient estimation using OpenMP.

Install

git clone https://github.com/Rheinwalt/CorrCoef.git
cd CorrCoef
sudo python setup.py install

Example

An example using random data for num = 4 time series of length len = 100 using as many threads as possible:

import numpy as np
import CorrCoef

num = 4
len = 100
data = np.random.random((num, len))
corr = CorrCoef.Pearson(data)