pydiodon.get_correlation_matrix

pydiodon.get_correlation_matrix(A)

Gets the correlation matrix

Parameters

Aa 2D n x p array

the dataset

Returns

Ca p x p coorrelation matrix

Notes

The computation of the correlation matrix, or variance-covariance matrix, is relevant for standard pretreatment only. Then, S is centered-scaled matrix from A, then \(C = S^t S\).

To compte C, the function computes S by centering columnwise and scaling the input matrix A.

Example

>>> import pydiodon as dio
>>> import numpy as np
>>> # building a toy matrix
>>> m = 10; n = 5
>>> A = np.random.randn(m,n)
>>> # computes the correlation matrix
>>> C = dio.get_correlation_matrix(A)
>>> print(C)

af, 23.01.19