CORRCOEF

 

 Correlation coefficients.

  CORRCOEF(X) is a matrix of correlation coefficients formed

  from array X whose each row is an observation, and each

  column is a variable.

  CORRCOEF(X,Y) is the same as CORRCOEF([X Y]).

 

 

  If C is the covariance matrix, C = COV224HTXR(X), then CORRCOEF(X) is

  the matrix whose (i,j)'th element is

 

 

              C(i,j)/SQRT(C(i,i)*C(j,j)).

 

 

  See also COV224HTXR, STDN25CU2.