Calculating correlation coefficient using PostgreSQL?

Question

I have worked out how to calculate the correlation coefficient between two fields if both are in the same table:

SELECT corr(column1, column2) FROM table WHERE <my filters>;

...but I can't work out how to do it when the columns are from different tables (I need to apply the same filters to both tables).

Any hints, please?

Answer 1

If the tables are related to one another such that you can join them, it's fairly simple. Just join them and do the correlation:

SELECT corr(t1.col1, t2.col2)
FROM table1 t1
     JOIN table2 t2
         ON t1.join_field = t2.join_field
WHERE
     <filters for t1>
     AND
     <filters for t2>

If they're not, then how are you supposed to find out which combination of fields from each table you want to run corr on?