feature request: make `scipy.stats.pearsonr` accept 2-D arrays

I’d love to see scipy.stats.pearsonr modified to allow 2-D arrays to be passed, with one column per variable and one row per observation. The output would be a pair of 2-D arrays–one for the Pearson correlation coefficient and one for the p-value. Currently, obtaining something like this requires a pair of nested loops, with scipy.stats.pearsonr being called once for each pair of variables.

[mdhaber]

@tirthasheshpatel @tupui @Kai-Striega what do you think? Shall we get the deprecation in before 1.9.0 branches so we can vectorize these consistently?

[josef-pkt]

(after another break)

I would put sommersd in a similar category as the correlations measures for ordinal association. One possible multivariate extension would be to return an asymmetric association matrix with sommersd(x, y) in the upper (?) triangular matrix and sommersd(y, x) in the lower triangular matrix.

But that’s purely theoretical, I’ve never seen a usecase like that. And I don’t know if there are interesting followup analyses that would use it.