2.2.5. Correlation matrix

The computation of the correlation matrix can be done either on the values (leading to the Pearson coefficients) or on the ranks (leading to the Spearmann coefficients).

Correlation matrices are computed in a 3 steps procedure detailed below:

• An overall \(M\) matrix is created and filled, every line being a new entry while every column is a variable

• This matrix is centred and reduced: for every variable under consideration \(\mu_{x}\) is subtracted and the results is divided by \(\sigma_{x}\).

• The resulting correlation matrix is obtained from the product \({}^t \!M \times M\)