How to Calculate the Correlation Coefficient A simple calculation method is to use what's known as the Pearson correlation coefficient calculator, named after the English mathematician Karl Pearson.

Under the high-dimensional setting that the data dimension and sample size tend to infinity proportionally, we derive the limiting spectral distribution and establish the central limit theorem of the ...

This example defines modules to compute correlation coefficients between numeric variables and standardized values for a set of data. /* Module to compute correlations */ ...

Simulating sample correlation matrices is important in many areas of statistics. Approaches such as generating Gaussian data and finding their sample correlation matrix or generating random uniform ...

Positive correlation is a relationship between two variables in which both variables move in tandem.

Cleaning correlation matrices The determination of correlation matrices is typically affected by in-sample noise. Joël Bun, Jean-Philippe Bouchaud and Marc Potters propose a simple, yet optimal, ...

The asset correlation matrix proves that Treasuries are great diversifiers. It shows the correlation coefficient between Treasuries, developed markets, and emerging market stocks.