scripts/statistics/base/corrcoef.m

## Copyright (C) 1996, 1997, 1998, 1999, 2004, 2005, 2006, 2007, 2008, 2009
##               John W. Eaton
##
## This file is part of Octave.
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## -*- texinfo -*-
## @deftypefn {Function File} {} corrcoef (@var{x}, @var{y})
## Compute correlation.
##
## If each row of @var{x} and @var{y} is an observation and each column is
## a variable, the (@var{i}, @var{j})-th entry of
## @code{corrcoef (@var{x}, @var{y})} is the correlation between the
## @var{i}-th variable in @var{x} and the @var{j}-th variable in @var{y}.
##
## @tex
## $$
## {\rm corrcoef}(x,y) = {{\rm cov}(x,y) \over {\rm std}(x) {\rm std}(y)}
## $$
## @end tex
## @ifnottex
## @example
## corrcoef(x,y) = cov(x,y)/(std(x)*std(y))
## @end example
## @end ifnottex
##
## If called with one argument, compute @code{corrcoef (@var{x}, @var{x})}.
## @end deftypefn

## Author: Kurt Hornik <hornik@wu-wien.ac.at>
## Created: March 1993
## Adapted-By: jwe

function retval = corrcoef (x, y)

  if (nargin < 1 || nargin > 2)
    print_usage ();
  endif

  if (nargin == 2)
    c = cov (x, y);
    s = std (x)' * std (y);
    retval = c ./ s;
  elseif (nargin == 1)
    c = cov (x);
    s = reshape (sqrt (diag (c)), 1, columns (c));
    retval = c ./ (s' * s);
  endif

endfunction

%!test
%! x = rand (10);
%! cc1 = corrcoef (x);
%! cc2 = corrcoef (x, x);
%! assert((size (cc1) == [10, 10] && size (cc2) == [10, 10]
%! && abs (cc1 - cc2) < sqrt (eps)));

%!error corrcoef ();

%!error corrcoef (1, 2, 3);