Efficient construction of a correlation matrix
- To: mathgroup at smc.vnet.net
- Subject: [mg98414] Efficient construction of a correlation matrix
- From: dantimatter <google at dantimatter.com>
- Date: Thu, 9 Apr 2009 05:54:49 -0400 (EDT)
Hello all, This was a question that was asked back in 2003 that didn't seem to have a response: is there a fast way to generate a matrix of correlation coefficients given a list of vectors? I have about fifty vectors that are each around 1300 elements long and I'd like to correlate them with each other to get a 50x50 matrix. I know that I can do this with loops or tables but I thought that perhaps there exists a fast and computationally inexpensive way to do this. Any thoughts? Many thanks, Dan