SET MATRIX <CORRELATION/COVARIANCE> DIRECTION

SET MATRIX <CORRELATION/COVARIANCE> DIRECTION

Set Subcommand

Specify whether correlation (or covariance) matrices are computed based on column-wise or row-wise correlations (covariances).

Given a nxp matrix, the CORRELATION MATRIX command computes all the column-wise correlations. This results in a kxk correlation matrix.

There may be situations in which you are interested in the row-wise correlations (which results in a nxn correlation matrix). This command allows you to specify which of these cases to compute.

SET MATRIX CORRELATION DIRECTION <COLUMN/ROW> where COLUMN specifies subsequent correlation matrices will be based on column-wise correlations and ROW specifies they will be based on row-wise correlations.

This syntax is used to specify the column/row direction for subsequent correlation matrices.

SET MATRIX COVARIANCE DIRECTION <COLUMN/ROW> where COLUMN specifies subsequent covariance matrices will be based on column-wise covariances and ROW specifies they will be based on row-wise covariances.

This syntax is used to specify the column/row direction for subsequent covariance matrices.

SET MATRIX CORRELATION DIRECTION ROW
SET MATRIX CORRELATION DIRECTION COLUMN
SET MATRIX COVARIANCE DIRECTION ROW
SET MATRIX COVARIANCE DIRECTION COLUMN

Correlation and covariance matrices are computed column-wise.

None

CORRELATION MATRIX	= Compute the correlation matrix of a matrix.
COVARIANCE MATRIX	= Compute the covariance matrix of a matrix.

Multivariate Analysis

2004/11

 
DIMENSION 100 COLUMNS
READ MATRIX C
-6.07 -4.83 -5.15 -5.96 -4.61 -4.35 -4.21 -5.71 -4.54 -3.26
-0.04 -0.72 -0.25 -1.56 -0.21 -0.79 -0.02 -1.42 -0.01 -1.47
 4.79  5.76  5.47  4.19  5.08  5.70  6.10  3.99  4.64  4.31
END OF DATA
SET MATRIX CORRELATION DIRECTION ROW
LET CORR = CORRELATION MATRIX C
SET WRITE FORMAT 3F6.2
PRINT CORR
    

This results in the following output:

 
  1.00  0.03  0.31
  0.03  1.00  0.59
  0.31  0.59  1.00