Correlation Coefficient SQL Snippet
Want to create a convenient Sisense for Cloud Data Teams SQL Snippet which emulates a function and returns the (Pearson) correlation coefficient between two variables?
Create a SQL Snippet called 'correlation_calc(metric_1 , metric2)' and insert the following SQL:
(avg([metric_1]*[metric_2]) - (avg([metric_1]) * avg([metric_2]))) / ( stddev_pop([metric_1]) * stddev_pop([metric_2]) )To call this function (for example, say between a 'height' and 'weight' column), simply call in your select field:
correlation_calc(height,weight) as correlation_betweeen_height_and_weightto return the correlation coefficient (which ranges from -1 to +1) between your two variables!
Share your convenient statistical snippets - covariance, autocorrelation, there are many useful snippets to create!
Note - this uses the stddev_pop Redshift function. If you're working with samples, use stddev_samp() instead.
Updated 03-02-2023
