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Correlation matrix

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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