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 2

var(xmatrix)

var(xmatrix, yscalar)

var(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

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