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 tocross/pcross(corr, X), but the performance of function corrMatrix is significantly improved. -
For a matrix with null values, the results of
corrMatrix(X)andcross/pcross(corr, X)are different, because the null values are converted to 0 by default in functioncorrMatrix, but ignored in functioncorr.
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 msRelated function: covarMatrix