cor.m

similer program for matlab

## Copyright (C) 1995, 1996, 1997, 1998, 2000, 2002, 2004, 2005, 2006,
##               2007 Kurt Hornik
##
## This file is part of Octave.
##
## Octave 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 3 of the License, or (at
## your option) any later version.
##
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## 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 Octave; see the file COPYING.  If not, see
## <http://www.gnu.org/licenses/>.

## -*- texinfo -*-
## @deftypefn {Function File} {} cor (@var{x}, @var{y})
## Compute correlation.
##
## The (@var{i}, @var{j})-th entry of @code{cor (@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}.
##
## @iftex
## @tex
## $$
## {\rm corrcoef}(x,y) = {{\rm cov}(x,y) \over {\rm std}(x) {\rm std}(y)}
## $$
## @end tex
## @end iftex
## @ifnottex
## @example
## corrcoef(x,y) = cov(x,y)/(std(x)*std(y))
## @end example
## @end ifnottex
##
## For matrices, each row is an observation and each column a variable;
## vectors are always observations and may be row or column vectors.
##
## @code{cor (@var{x})} is equivalent to @code{cor (@var{x}, @var{x})}.
##
## Note that the @code{corrcoef} function does the same as @code{cor}.
## @end deftypefn

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

function retval = cor (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