Correlation matrix
From Encyclopedia of Mathematics
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 
.
How to Cite This Entry:
Correlation matrix. Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Correlation_matrix&oldid=19066
Correlation matrix. Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Correlation_matrix&oldid=19066
This article was adapted from an original article by A.V. Prokhorov (originator), which appeared in Encyclopedia of Mathematics - ISBN 1402006098. See original article