SampleCorrelation

SampleCorrelation(X : array[I,R] ; I,J,R : IndexType)

Returns a correlation matrix based on data in X, where each data point is a vector indexed by I, and the entries in the correlation matrix are the pair-wise correlations of the columns of data. A second index, J, of size identical to I, is required in order to index the 2-dimensional result.

Library

Multivariate Distributions.ana

Notes

Note: You can also use the built-in function Correlation to compute a correlation matrix. The built-in function is actually more flexible since it can also be used with sample weighting. The equivalent of SampleCorrelation(X,I,J,R) is:

Correlation( X, X[I=J], R )

See Also

• SampleCovariance
• Correlation