correl, variance, covar

import logging, math

proc covar(vx, vy: openArray[float]) : float =
  if len(vx) != len(vy) or len(vx) < 2:
    error("Covar requires equal length arrays, length of at least 2.")

  let mx = mean(vx)
  let my = mean(vy)

  for i in 0..high(vx):
    let xd = vx[i] - mx
    let yd = vy[i] - my
    result += (xd * yd - result) / float(i + 1)

proc variance(vx: openArray[float]) : float =
  covar(vx, vx)

proc correl(vx, vy: openArray[float]) : float =
  covar(vx, vy) / (sqrt(variance(vx)) * sqrt(variance(vy)))