Github user mengxr commented on a diff in the pull request: https://github.com/apache/spark/pull/5858#discussion_r29557463 --- Diff: sql/core/src/main/scala/org/apache/spark/sql/execution/stat/StatFunctions.scala --- @@ -23,29 +23,43 @@ import org.apache.spark.sql.types.{DoubleType, NumericType} private[sql] object StatFunctions { + /** Calculate the Pearson Correlation Coefficient for the given columns */ + private[sql] def pearsonCorrelation(df: DataFrame, cols: Seq[String]): Double = { + val counts = collectStatisticalData(df, cols) + counts.Ck / math.sqrt(counts.MkX * counts.MkY) + } + /** Helper class to simplify tracking and merging counts. */ private class CovarianceCounter extends Serializable { - var xAvg = 0.0 - var yAvg = 0.0 - var Ck = 0.0 - var count = 0L + var xAvg = 0.0 // the mean of all examples seen so far in col1 + var yAvg = 0.0 // the mean of all examples seen so far in col2 + var Ck = 0.0 // the co-moment after k examples + var MkX = 0.0 // sum of squares of differences from the (current) mean for col1 + var MkY = 0.0 // sum of squares of differences from the (current) mean for col1 + var count = 0L // count of observed examples // add an example to the calculation def add(x: Double, y: Double): this.type = { - val oldX = xAvg + val deltaX = x - xAvg + val deltaY = y - yAvg count += 1 - xAvg += (x - xAvg) / count - yAvg += (y - yAvg) / count - Ck += (y - yAvg) * (x - oldX) + xAvg += deltaX / count + yAvg += deltaY / count + Ck += deltaX * (y - yAvg) + MkX += deltaX * (x - xAvg) --- End diff -- `deltaX * deltaX`
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