Yes Illia very curious, even this "simple" case does not work:

=PEARSON(A1:A5,INDIRECT("A"&ROW(2:2)&":A"&ROW(6:6) )) (don't need
array formula here, but still doesn't work)

which should be the equivalent of =pearson(a1:a5,a2:a6), anyway I
think you shown the way and maybe somebody else can help to puzzle
this out....