Re: Efficient construction of a correlation matrix
- To: mathgroup at smc.vnet.net
- Subject: [mg98553] Re: Efficient construction of a correlation matrix
- From: google at dantimatter.com
- Date: Sun, 12 Apr 2009 03:49:14 -0400 (EDT)
- References: <grkgl2$69m$1@smc.vnet.net> <grpih7$lpk$1@smc.vnet.net>
thanks everyone! dan On Apr 11, 3:57 am, Ray Koopman <koop... at sfu.ca> wrote: > On Apr 9, 2:54 am,dantimatter<goo... at dantimatter.com> wrote: > > > 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 > > If you're using 6 or 7, Correlation[data] > will give you the 50 x 50 correlation matrix. > > If you're pre-6, <<Statistics`MultiDescriptiveStatistics` > will load a standard add-on package, and CorrelationMatrix[data] > will give you the correlation matrix. > > In both cases, the dimensions of the data matrix must be > {#_of_cases, #_of_variables}, so transpose as necessary.