corrMatrix

Syntax

corrMatrix(X)

Arguments

X is a matrix.

Details

Return a correlation matrix, where the (i, j) entry is the correlation between the columns i and j of X.

Note:

  • For a matrix X without NULL values, the result of corrMatrix(X) is equivalent to cross/pcross(corr, X), but the performance of function corrMatrix is significantly improved.

  • For a matrix with NULL values, the results of corrMatrix(X) and cross/pcross(corr, X) are different, because the NULL values are converted to 0 by default in function corrMatrix, but ignored in function corr.

Examples

$ m = rand(10.0, 30)$10:3
$ corrMatrix(m)

#0

#1

#2

1

0.167257129736134

0.224955585716037

0.167257129736134

1

-0.12066768907057

0.224955585716037

-0.12066768907057

1

 
$ a = rand(1.0, 30000000).reshape(10000:3000)
$ a.rename!("s" + string(1..3000))
$ timer corrMatrix(a)
Time elapsed: 2986.932 ms
$ timer pcross(corr, a)
Time elapsed: 45629.6 ms

Related function: covarMatrix