Programmer Guide/Command Reference/EVAL/corr: Difference between revisions
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Compute the correlation coefficient or the correlcation matrix. | Compute the correlation coefficient or the correlcation matrix. | ||
---- | ---- | ||
;Usage 1: '''<code> | ;Usage 1: '''<code>corr(''x''<sub>vector</sub>, ''y''<sub>vector</sub>)</code>''' | ||
;Result 1: The correlecation coefficient ''r'' (product-moment correlation) of the vectors ''x'' and ''y''. | ;Result 1: The correlecation coefficient ''r'' (product-moment correlation) of the vectors ''x'' and ''y''. | ||
:<code>''r'' = var(''x'', ''y'') / sqrt( var(''x'') * var(''y'') )</code> | :<code>''r'' = var(''x'', ''y'') / sqrt( var(''x'') * var(''y'') )</code> | ||
---- | ---- | ||
;Usage 2: '''<code> | ;Usage 2: '''<code>corr(''x''<sub>matrix</sub>)</code>''' | ||
:'''<code> | :'''<code>corr(''x''<sub>matrix</sub>, ''y''<sub>scalar</sub>)</code>''' | ||
:'''<code> | :'''<code>corr(''x''<sub>matrix</sub>, ''y''<sub>vector</sub>)</code>''' | ||
;Result 2: The correlation matrix ''r'' of the column vectors of ''x''. | ;Result 2: The correlation matrix ''r'' of the column vectors of ''x''. | ||
:<code>''r''[i,j] = var(''x[*,i]'', ''x''[*,j]) / sqrt( var(''x''[*,i]) * var(''x''[*,j]) ) , with: i,j = 0..ncol(''x'')-1</code> | :<code>''r''[i,j] = var(''x[*,i]'', ''x''[*,j]) / sqrt( var(''x''[*,i]) * var(''x''[*,j]) ) , with: i,j = 0..ncol(''x'')-1</code> | ||
Revision as of 14:10, 8 April 2011
Compute the correlation coefficient or the correlcation matrix.
- Usage 1
corr(xvector, yvector)- Result 1
- The correlecation coefficient r (product-moment correlation) of the vectors x and y.
r = var(x, y) / sqrt( var(x) * var(y) )
- Usage 2
corr(xmatrix)corr(xmatrix, yscalar)corr(xmatrix, yvector)- Result 2
- The correlation matrix r of the column vectors of x.
r[i,j] = var(x[*,i], x[*,j]) / sqrt( var(x[*,i]) * var(x[*,j]) ) , with: i,j = 0..ncol(x)-1- If the argument y is supplied, it is used as column average like for the computation of the covariance matrix.
