Compute a correlation matrix — correlation • amatrix

Computes the sample correlation matrix of the columns of X, optionally with observation weights and column-blocked covariance accumulation.

Usage

correlation(X, center = TRUE, weights = NULL, block_size = NULL)

Arguments

X: Numeric matrix or adgeMatrix of shape [n, p].
center: Logical; when TRUE (default) column means are subtracted before computing covariances.
weights: Numeric vector of length n, or NULL for unweighted correlation.
block_size: Positive integer or NULL. When non-NULL, covariances are accumulated in blocks of this many columns to limit memory usage.

Value

An adgeMatrix of shape [p, p]: the sample correlation matrix with diagonal entries set to 1.

See also

Examples

X <- matrix(rnorm(50), nrow = 10)
R <- correlation(X)
round(diag(as.matrix(R)), 6)
#> [1] 1 1 1 1 1