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WeightedCorrelation

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Function Description

Returns the weighted (Pearson) correlation between two series.

 

The weighted correlation for two series, 1 and 2, given weights  (for ), is calculated as:

 

 

where

 

 

See Weighted Moments and Cumulants for further details and explanation of terms in this formula. If the weights are equal then returns the same as MnCorrelation.

 


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