I need to compute correlation coefficients - lots of them. I have two three-dimensional arrays (frequency x time x observations) and I want to compute correlations between the two arrays along the third dimension. The result I need is a two-dimensional array of correlation coefficients (frequency x time). If I understand the corr function correctly, corr is only for column vectors. If I loop over my other two dimensions, I can of course compute the correlation for each time-frequency point separately, but this is very slow.
Is there a way to compute correlation coefficients for multi-dimensional arrays along an arbitrary dimension, or any other way to speed up the computation of correlations?