This example defines modules to compute correlation coefficients between numeric variables and standardized values for a set of data. /* Module to compute correlations */ ...

A second-order confirmatory factor analysis model is applied to a correlation matrix of Thurstone reported by McDonald (1985). Using the LINEQS statement, the three-term second-order factor analysis ...

Procedures and illustrative examples are given to test a null hypothesis specifying the population correlation matrix and the homogeneity of several independent sample correlation matrices.

Any correlation matrix can be decomposed into characteristic entities called Eigen values and Eigen vectors. Assuming one wouldn't know the direction of the true Eigen vectors – that is, by keeping ...

Cleaning correlation matrices The determination of correlation matrices is typically affected by in-sample noise. Joël Bun, Jean-Philippe Bouchaud and Marc Potters propose a simple, yet optimal, ...

The asset correlation matrix proves that Treasuries are great diversifiers. It shows the correlation coefficient between Treasuries, developed markets, and emerging market stocks.

We introduce the matrix multivariate auto-distance covariance and correlation functions for time series, discuss their interpretation and develop consistent estimators for practical implementation.