Correlation

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Correlation is a derived quantity, from the covariance: \begin{eqnarray} \operatorname{cor} \left( X, Y \right) &= \frac{\sigma \left( X, Y \right)}{ \sigma_X \sigma_Y} \\ &= \frac{\sigma_{XY}}{ \sqrt{\sigma_{XX} \sigma_{YY}}} \end{eqnarray}

Correlation matrix