Category:Definitions/Correlation Matrices

This category contains definitions related to Correlation Matrices.
Related results can be found in Category:Correlation Matrices.

Let $\sequence a_n$ and $\sequence b_n$ be sequences of $n$ observations.

A correlation matrix $\mathbf C$ is a square matrix of order $n$ defined as:

$\sqbrk c_{i j} = r_{i j}$

where $r_{i j}$ denotes the sample correlation coefficient between $a_i$ and $b_j$.