Add correlation matrix (Pearson's correlation)

[lhapp27]

Thank you for the package. This is my first time suggesting code changes, sorry if I dont obey common practices.

Maybe it would be useful to some users (e.g. to me it was...) to provide also functionality to calculate the correlation matrix (or more properly: Pearson’s product-moment correlation coefficient: https://en.wikipedia.org/wiki/Correlation#Pearson's_product-moment_coefficient ). This is not difficult to do, as with the covariance matrix and the standard errors all the necessary ingredients are already readily available. But I guess it does not hurt if it is there directly.

function correlation(fit::LsqFitResult; rtol::Real=NaN, atol::Real=0)
    # computes correlation of fit parameters
    covar = vcov(fit)
    std_errors = stderror(fit; rtol=rtol, atol=atol)
    
    corr = covar./(std_errors'.*std_errors)

    return corr
end

Probably one needs some catching of erros, in case std_errors has zeros.

[pkofod]

Hm, good question. I think some other statistics and linear algebra packages have other names for it that we should probably obey to.