gbxcorr(1) Compute cross correlation matrix


gbxcorr [options]


Take as input a data matrix A with N rows and T columns
A = [ a_{t,i} ]
with t=1,..,T i=1,...,N

and compute the NxN correlation matrix C [ c_{i,j} ] following the method specified by option '-M': with method 0 it is

c_{i,j} = 1/(T-1) \sum_t (a_{t,i}-m_i) (a_{t,j}-m_j)

where m_i is the i-th mean and with method 1 it is

c_{i,j} = 1/T \sum_t a_{t,i} a_{t,j} .

Covariance is stored in the lower triangle while correlation coefficients are stored in the upper triangle.

WARNING: previous implementations were row-wise instead of column-wise


choose the method (default 0)
covariance/correlation with mean removal
covariance/correlation without mean removal
-F specify the input fields separators (default " \t")
-h this help


Written by Giulio Bottazzi


Report bugs to <[email protected]>

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Copyright © 2001-2015 Giulio Bottazzi This program is free software; you can redistribute it and/or modify it under the terms of the GNU General Public License (version 2) as published by the Free Software Foundation;

This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details.