Class L1c1b ... Covariance and correlation statistics

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Modules for class L1c1b

• CCORL (DCCORL) Compute the correlation of two complex vectors.
• DCCORL (CCORL) Compute the correlation of two complex vectors.
• DRCORL (RCORL) Compute the correlation of two real vectors.
• RCORL (DRCORL) Compute the correlation of two real vectors.

• CORVC (DCORVC) Compute the variance-covariance or correlation matrix.
• DCORVC (CORVC) Compute the variance-covariance or correlation matrix.

• G02BAF Computes means and standard deviations of variables, sums of squares and cross-p ...
• G02BGF Computes means and standard deviations of variables, sums of squares and cross-p ...
• G02BNF Computes Kendall and/or Spearman non-parametric rank correlation coefficients fo ...
• G02BQF Computes Kendall and/or Spearman non-parametric rank correlation coefficients fo ...
• G02BTF Update a weighted sum of squares matrix with a new observation.
• G02BUF Computes a weighted sum of squares matrix.
• G02BWF Computes a correlation matrix from a sum of squares matrix.
• G02BXF Computes (optionally weighted) correlation and covariance matrices.
• G02BYF Computes a partial correlation/variance-covariance matrix from a correlation or ...
• G02HKF Calculates a robust estimation of a correlation matrix, Huber's weight function.
• G02HLF Calculates a robust estimation of a correlation matrix, user supplied weight fun ...
• G02HMF Calculates a robust estimation of a correlation matrix, user supplied weight fun ...

• NAG_CORR_COV Calculates the Pearson product-moment correlation coefficients and the variance- ...
• NAG_PARTIAL_CORR Computes partial correlation/variance-covariance matrix from correlation/varianc ...
• NAG_ROBUST_CORR_ESTIM Computes a robust estimate of the covariance matrix for an expected fraction of ...

• CORR Computes correlation coefficients between variables, including Pearson product-m ...