cor.m

GNU Octave is a high-level language, primarily intended for numerical computations. It provides a c

## Copyright (C) 1995, 1996, 1997  Kurt Hornik
## 
## This program is free software; you can redistribute it and/or modify
## it under the terms of the GNU General Public License as published by
## the Free Software Foundation; either version 2, or (at your option)
## any later version.
## 
## This program is distributed in the hope that it will be useful, but
## WITHOUT ANY WARRANTY; without even the implied warranty of
## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
## General Public License for more details. 
## 
## You should have received a copy of the GNU General Public License
## along with this file.  If not, write to the Free Software Foundation,
## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA.

## usage:  cor (x [, y])
##
## The (i,j)-th entry of cor (x, y) is the correlation between the i-th
## variable in x and the j-th variable in y.
##
## For matrices, each row is an observation and each column a variable;
## vectors are always observations and may be row or column vectors.
##
## cor (x) is cor (x, x).

## Author:  KH <[e-mail]>
## Description:  Compute correlations

function retval = cor (x, y)

  if (nargin < 1 || nargin > 2)
    usage ("cor (x [, y])");
  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