Definition:Correlation Matrix

Definition

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 $b_j$.

Also see

• Results about correlation matrices can be found here.

Sources

• 1998: David Nelson: The Penguin Dictionary of Mathematics (2nd ed.) ... (previous) ... (next): correlation matrix
• 2008: David Nelson: The Penguin Dictionary of Mathematics (4th ed.) ... (previous) ... (next): correlation matrix