Calculating Pearson correlation

Use scipy :

scipy.stats.pearsonr(x, y)

Calculates a Pearson correlation coefficient and the p-value for testing non-correlation.

The Pearson correlation coefficient measures the linear relationship between two datasets. Strictly speaking, Pearson’s correlation requires that each dataset be normally distributed. Like other correlation coefficients, this one varies between -1 and +1 with 0 implying no correlation. Correlations of -1 or +1 imply an exact linear relationship. Positive correlations imply that as x increases, so does y. Negative correlations imply that as x increases, y decreases.

The p-value roughly indicates the probability of an uncorrelated system producing datasets that have a Pearson correlation at least as extreme as the one computed from these datasets. The p-values are not entirely reliable but are probably reasonable for datasets larger than 500 or so.

Parameters :

x : 1D array

y : 1D array the same length as x

Returns :

(Pearson’s correlation coefficient, : 2-tailed p-value)

You can also use numpy:

numpy.corrcoef(x, y)

which would give you a correlation matrix that looks like:

[[1          correlation(x, y)]
[correlation(y, x)          1]]