get_correlation_matrix

get_correlation_matrix(ts: TSDataset, columns: Optional[List[str]] = None, segments: Optional[List[str]] = None, method: str = 'pearson') → numpy.ndarray

Compute pairwise correlation of timeseries for selected segments.

Parameters

• ts (TSDataset) – TSDataset with timeseries data

• columns (Optional[List[str]]) – Columns to use, if None use all columns

• segments (Optional[List[str]]) – Segments to use

• method (str) –

  Method of correlation:

  • pearson: standard correlation coefficient

  • kendall: Kendall Tau correlation coefficient

  • spearman: Spearman rank correlation

Returns

Correlation matrix

Return type

np.ndarray