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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


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