Programmer Guide/Command Reference/EVAL/corr

Compute the correlation coefficient or the correlcation matrix.

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Usage 1

var(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) )

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Usage 3

var(xmatrix)

var(xmatrix, yscalar)

var(xmatrix, yvector)

Result 3

The covariance matrix v of the column vectors of x.

vi,j = sumk = 0..nrow(x) ( (xk,i-ai) * (xk,j-aj) ) / (nrow(x)-1) , with: i,j = 0..ncol(x)

The column averages a_i=0..ncol(x) are computed as follows:

y not supplied	ai = avr(x*,i)
yscalar	ai = y
yvector	ai = yi

See also

avr, dev, corr

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corr

The product moment correlation of the vector xv and yv.

Usage:

corr(xv,yv)

Return Type:

scalar