Calculates the correlation matrix. The input can be one matrix, which contains the observations of a set of random variables, or two matrices, each one representing a vector of observations.
|
Syntax |
Description |
|---|---|
|
corrcoef(A); corrcoef(A, B); |
Calculate the correlation matrix.
R = corrcoef(A) returns the matrix of correlation coefficients for A, where the columns of A represent random variables and the rows represent observations.
R = corrcoef(A, B) returns the correlation coefficients between two random variables A and B. If A and B are vectors of observations with equal length, corrcoef(A, B) is the 2-by-2 correlation matrix; if A and B are matrices of observations, corrcoef(A, B) treats A and B as vectors and is equivalent to corrcoef(A(1:lenght(A)), B(1:length(B))). A and B must have equal size. |
Example
The following examples illustrate how to find the covariance matrix.
A = [1,2;3,4]; B = [1.1,2.7; 2.5, 4.3]; ?corrcoef(A,B); ?corrcoef(A(1:length(A)),B(1:length(B))); result: 1 0.92621 0.92621 1 result: 1 0.92621 0.92621 1
See Also