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COR: MATLAB function to compute the correlation coefficients

Joanna Nowicka-Zagrajek and Rafał Weron ()

HSC Software from Hugo Steinhaus Center, Wroclaw University of Technology

Abstract: COR(X,Y) returns the correlation coefficient of vectors X and Y. C = COR(X,Y,H) returns a vector C of correlation coefficients of vectors X(t+h) and Y(t) for h in [H(1),H(2)], with H(1) Y), negative lags represent the influence of Y on X (Y->X).

Language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.9).
Keywords: Correlation coefficient; Dependence; Small sample algorithm; Large sample algorithm; p-value. (search for similar items in EconPapers)
Date: 2008-06-27
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http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/hscode/cor.m Program file (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:wuu:hscode:m08001

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