Python C-extension for memory efficient and multithreaded Pearson product-moment correlation coefficient estimation using OpenMP.
git clone https://github.com/Rheinwalt/CorrCoef.git
cd CorrCoef
sudo python setup.py install
An example using random data for num = 4 time series of length len = 100 using as many threads as possible:
import numpy as np
import CorrCoef
num = 4
len = 100
data = np.random.random((num, len))
corr = CorrCoef.Pearson(data)