I have 2 one-dimensional datasets, let's call them a and b. I want to know the correlation between a[n] and b[n], or if there is a correlation in the first place. What is the generic algorithm for doing this?
2026-03-26 07:32:28.1774510348
Work out if the relationship between 2 datasets is constant
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Without knowing more about
aandbit's hard to say what the most general algorithm is.The best place to start would be a non-parametric, or rank-based, measure of correlation such as Spearman's $\rho$ or Kendall's $\tau$. Both measure the similarity of the vectors
aandbby sorting the values they contain and comparing the ranks.These are convenient because there are no parametric assumptions about your vectors
aandb, i.e. they are not assumed to come from a Gaussian or any other distribution, and there are approximate significance tests that can be performed. Those significance tests will help you determine if there is correlation between the two vectors.