L1c1b: Covariance, correlation


G02BAF   Pearson product-moment correlation coefficients, all variables, no missing values
G02BGF   Pearson product-moment correlation coefficients, subset of variables, no missing values
G02BNF   Kendall/Spearman non-parametric rank correlation coefficients, no missing values, overwriting input data
G02BQF   Kendall/Spearman non-parametric rank correlation coefficients, no missing values, preserving input data
G02BTF   Update a weighted sum of squares matrix with a new observation
G02BUF   Computes a weighted sum of squares matrix
G02BWF   Computes a correlation matrix from a sum of squares matrix
G02BXF   Computes (optionally weighted) correlation and covariance matrices
G02BYF   Computes partial correlation/variance-covariance matrix from correlation/variance-covariance matrix computed by G02BXF
G02HKF   Calculates a robust estimation of a correlation matrix, Huber's weight function
G02HLF   Calculates a robust estimation of a correlation matrix, user-supplied weight function plus derivatives
G02HMF   Calculates a robust estimation of a correlation matrix, user-supplied weight function

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© The Numerical Algorithms Group Ltd, Oxford UK. 2001