Correlation matrix

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The matrix of correlation coefficients of several random variables. If are random variables with non-zero variances , then the matrix entries () are equal to the correlation coefficients (cf. Correlation coefficient) ; for the element is defined to be 1. The properties of the correlation matrix are determined by the properties of the covariance matrix , by virtue of the relation , where is the diagonal matrix with (diagonal) entries .

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Correlation matrix. Encyclopedia of Mathematics. URL:
This article was adapted from an original article by A.V. Prokhorov (originator), which appeared in Encyclopedia of Mathematics - ISBN 1402006098. See original article