Correlation function for discrete variable correlation

Author: kvadrik

src/main/java/com/thealgorithms/maths/Correlation.java

@@ -0,0 +1,46 @@
+package com.thealgorithms.maths;
+
+/**
+ * Class for correlation of two discrete variables
+ */
+
+public final class Correlation {
+    private Correlation() {
+    }
+
+    public static final double DELTA = 1e-9;
+
+    /**
+     * Discrete correlation function.
+     * Correlation between two discrete variables is calculated.
+     * Correlation with a constant variable is taken to be zero.
+     *
+     * @param x The first discrete variable
+     * @param y The second discrete variable
+     * @param n The number of values for each variable
+     * @return The result of the correlation of variables x,y.
+     */
+    public static double correlation(double[] x, double[] y, int n) {
+        double exy = 0, ex = 0, exx = 0, ey = 0, eyy = 0;
+        for (int i = 0; i < n; i++) {
+            exy += x[i] * y[i];
+            ex += x[i];
+            exx += x[i] * x[i];
+            ey += y[i];
+            eyy += y[i] * y[i];
+        }
+        exy /= n;
+        ex /= n;
+        exx /= n;
+        ey /= n;
+        eyy /= n;
+        double cov = exy - ex * ey;
+        double varx = Math.sqrt(exx - ex * ex);
+        double vary = Math.sqrt(eyy - ey * ey);
+        if (varx * vary < DELTA) {
+            return 0;
+        } else {
+            return cov / Math.sqrt(varx * vary);
+        }
+    }
+}