如果你不喜欢安装scipy，我使用了这个快速的hack，稍微修改了Programming Collective Intelligence:

def pearsonr(x, y):
  # Assume len(x) == len(y)
  n = len(x)
  sum_x = float(sum(x))
  sum_y = float(sum(y))
  sum_x_sq = sum(xi*xi for xi in x)
  sum_y_sq = sum(yi*yi for yi in y)
  psum = sum(xi*yi for xi, yi in zip(x, y))
  num = psum - (sum_x * sum_y/n)
  den = pow((sum_x_sq - pow(sum_x, 2) / n) * (sum_y_sq - pow(sum_y, 2) / n), 0.5)
  if den == 0: return 0
  return num / den

对此，我有一个非常简单易懂的解决方案。对于两个长度相等的数组，Pearson系数可以很容易地计算如下:

def manual_pearson(a,b):
"""
Accepts two arrays of equal length, and computes correlation coefficient. 
Numerator is the sum of product of (a - a_avg) and (b - b_avg), 
while denominator is the product of a_std and b_std multiplied by 
length of array. 
"""
  a_avg, b_avg = np.average(a), np.average(b)
  a_stdev, b_stdev = np.std(a), np.std(b)
  n = len(a)
  denominator = a_stdev * b_stdev * n
  numerator = np.sum(np.multiply(a-a_avg, b-b_avg))
  p_coef = numerator/denominator
  return p_coef

下面是mkh答案的一个变体，比它运行得快得多，还有scipy.stats。皮尔逊，使用numba。

import numba

@numba.jit
def corr(data1, data2):
    M = data1.size

    sum1 = 0.
    sum2 = 0.
    for i in range(M):
        sum1 += data1[i]
        sum2 += data2[i]
    mean1 = sum1 / M
    mean2 = sum2 / M

    var_sum1 = 0.
    var_sum2 = 0.
    cross_sum = 0.
    for i in range(M):
        var_sum1 += (data1[i] - mean1) ** 2
        var_sum2 += (data2[i] - mean2) ** 2
        cross_sum += (data1[i] * data2[i])

    std1 = (var_sum1 / M) ** .5
    std2 = (var_sum2 / M) ** .5
    cross_mean = cross_sum / M

    return (cross_mean - mean1 * mean2) / (std1 * std2)

从Python 3.10开始，Pearson的相关系数(statistics.correlation)可以直接在标准库中获得:

from statistics import correlation

# a = [15, 12, 8, 8, 7, 7, 7, 6, 5, 3]
# b = [10, 25, 17, 11, 13, 17, 20, 13, 9, 15]
correlation(a, b)
# 0.1449981545806852

计算相关:

相关性-衡量两个不同变量的相似性

使用皮尔逊相关

from scipy.stats import pearsonr
# final_data is the dataframe with n set of columns
pearson_correlation = final_data.corr(method='pearson')
pearson_correlation
# print correlation of n*n column

使用斯皮尔曼相关

from scipy.stats import spearmanr
# final_data is the dataframe with n set of columns
spearman_correlation = final_data.corr(method='spearman')
spearman_correlation
# print correlation of n*n column

使用Kendall相关

kendall_correlation=final_data.corr(method='kendall')
kendall_correlation

你可以看看这篇文章。这是一个使用pandas库(适用于Python)根据多个文件的历史外汇货币对数据计算相关性的示例，然后使用seaborn库生成热图图。

http://www.tradinggeeks.net/2015/08/calculating-correlation-in-python/