# Correlation matrix

From Encyclopedia of Mathematics

The matrix of correlation coefficients of several random variables. If are random variables with non-zero variances , then the matrix entries () are equal to the correlation coefficients (cf. Correlation coefficient) ; for the element is defined to be 1. The properties of the correlation matrix are determined by the properties of the covariance matrix , by virtue of the relation , where is the diagonal matrix with (diagonal) entries .

**How to Cite This Entry:**

Correlation matrix. A.V. Prokhorov (originator),

*Encyclopedia of Mathematics.*URL: http://www.encyclopediaofmath.org/index.php?title=Correlation_matrix&oldid=19066

This text originally appeared in Encyclopedia of Mathematics - ISBN 1402006098