corr

Compute the correlation coefficient or the correlcation matrix.

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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) )

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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.

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See also

avr, dev, var, corrfun, svd

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