SampleCorrelation

SampleCorrelation(X, I, J, R)

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.

Syntax:

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

Library

Multivariate Distributions.ana

Notes

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
• Multivariate distributions