Answers for "pearson's correlation coefficient rolling window"

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pearson's correlation coefficient rolling window

import pandas as pd
from scipy.special import betainc

def pvalue(corr, n=50):
    df = n - 2
    t_squared = corr**2 * (df / ((1.0 - corr) * (1.0 + corr)))
    prob = betainc(0.5*df, 0.5, df/(df+t_squared))
    return prob

Posted by: Guest on June-04-2021

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