Computes the Pearson correlation matrix for a set of random inputs. The random inputs are taken to be the columns of the input matrix. The symmetric, positive definite matrix whose i,j entry is the Spearman correlation coefficient between the inputs in column i and column j is computed and returned.

Namespace:  CenterSpace.NMath.Stats
Assembly:  NMathStats (in NMathStats.dll) Version: 3.4.0.0

Syntax

C#
public static DoubleSymmetricMatrix CorrelationMatrix(
	DoubleMatrix A
)
Visual Basic (Declaration)
Public Shared Function CorrelationMatrix ( _
	A As DoubleMatrix _
) As DoubleSymmetricMatrix
Visual C++
public:
static DoubleSymmetricMatrix^ CorrelationMatrix(
	DoubleMatrix^ A
)

Parameters

A
Type: CenterSpace.NMath.Core..::.DoubleMatrix
Matrix whose columns are the inputs whose Spearman rank correlation coefficient is computed.

Return Value

The symmetric, positive definite matrix whose row i, column j entry is the correlation coefficient between the inputs in column i and column j

See Also