The library description format is taken from an articles to the standard math. library, which is compatible with this library.

MathCorrelationPearson

The function calculates the Pearson correlation coefficients for each point of the original series, while making appropriate comparisons with the given Pattern.

bool MathCorrelationPearson( const double &Signal[],  // [in]  An array for comparing with the pattern
                             const double &Pattern[], // [in]  Pattern for calculating the Pearson coefficient
                             double &Corr[] );        // [out] An array with the values of Pearson coefficients

Table of correspondence to the statistical functions in R

No.	Calculated value	MQL5 Function	R Function
1	Calculates an array of Pearson correlation coefficient.	bool MathCorrelationPearson( const double &Signal[], const double &Pattern[], double &Corr[] );	–

An example of operation and and performance measurement in comparison with alternative implementations is available in Scripts\fxsaber\Math\TestStatBenchmark.mq5.

Alternative: Check Margin - script MetaTrader 5

A cross-platform library of original mathematical functions – library MetaTrader 5

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