the Pearson correlation coefficient, also known as Pearson’s r, is a correlation coefficient that measures linear correlation between two sets of data. 1
Definition
Given two random variables
and , the Pearson correlation coefficient is often denoted as and is defined as
\rho_{XY} = \frac{\text{Cov}[X, Y]}{\text{stdev}[X]\text{stdev}[Y]}
Note that the above ratio is only well-defined when