Overview: Correlation and Covariance
This chapter discusses measures of correlation for bivariate data. Topics covered include:
- The usual multivariate measures of correlation and covariance for continuous random variables (produced by IMSL_COVARIANCES).
- Data grouped by some auxiliary variable (IMSL_POOLED_COV can be used to compute the pooled covariance matrix along with the means for each group).
- Partial correlations or covariances computed using IMSL_PARTIAL_COV.
- Use of the IMSL_ROBUST_COV function to compute robust M-estimates of the mean and covariance matrix from a matrix of observations.
