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Knowledge Base

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.

 

Supported Product: FDTD, MODE, DEVICE, INTERCONNECT

 

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

Functions, cov, corrtransf

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