Computing correlations with SciPy

[tkpmep at hotmail.com]

Tested it and it works like a charm! Thank you very much for fixing
this. Not knowing what an SVN is, I simply copied the code into the
appropriate library files and it works perfectly well.

May I suggest a simple enhancement: modify corrcoef so that if it is
fed two 1 dimensional arrays, it returns a scalar. cov does something
similar for covariances: if you feed it just one vector, it returns a
scalar, and if you feed it two, it returns the covariance matrix i.e:

>>> x = [1, 2, 3, 4, 5]

>>> z = [5, 4, 3, 2, 1]

>>> scipy.cov(x,z)
array([[ 2.5, -2.5],
       [-2.5,  2.5]])

>>> scipy.cov(x)
2.5

I suspect that the majority of users use corrcoef to obtain point
estimates of the covariance of two vectors, and relatively few will
estimate a covariance matrix, as this method tends not to be robust to
the presence of noise and/or errors in the data.

Thomas Philips