TableOfReal: To Correlation

A command that creates a (Pearson) Correlation object from every selected TableOfReal object. The correlations are calculated between columns.

Algorithm

The linear correlation coefficient rij (also called the product moment correlation coefficient or Pearson's correlation coefficient) between the elements of columns i and j is calculated as:

rij = Σk (xki - x̄i)(xkj - x̄j)/(√ (Σk(xki - x̄i)2) √ (Σk(xkj - x̄j)2)),

where xmn is the element m in column n, and x̄n is the mean of column n.


© djmw, December 9, 2015