Routines for Correlation and Covariance

See Correlation and Covariance or select a link below.

IMSL_COVARIANCES—Variance-covariance or correlation matrix.

IMSL_PARTIAL_COV—Partial correlations and covariances.

IMSL_POOLED_COV—Pooled covariance matrix.

IMSL_ROBUST_COV—Robust estimate of covariance matrix.