The function may be called by the names: g02bwc, nag_correg_ssqmat_to_corrmat or nag_cov_to_corr.
g02bwc calculates a matrix of Pearson product-moment correlation coefficients from sums of squares and cross-products about the mean for observations on variables which can be computed by a single call to g02buc or a series of calls to g02btc. The sums of squares and cross-products are stored in an array packed by column and are overwritten by the correlation coefficients.
Let be the cross-product of deviations from the mean, for and , then the product-moment correlation coefficient, is given by
1: – IntegerInput
On entry: , the number of variables.
2: – doubleInput/Output
On entry: contains the upper triangular part of the sums of squares and cross-products matrix of deviations from the mean. These are stored packed by column, i.e., the cross-product between variable and , , is stored in .
On exit: the Pearson product-moment correlation coefficients.
These are stored packed by column corresponding to the input cross-products.
3: – NagError *Input/Output
The NAG error argument (see Section 7 in the Introduction to the NAG Library CL Interface).
6Error Indicators and Warnings
Dynamic memory allocation failed.
See Section 3.1.2 in the Introduction to the NAG Library CL Interface for further information.
On entry, argument had an illegal value.
On entry, .
An internal error has occurred in this function. Check the function call and any array sizes. If the call is correct then please contact NAG for assistance.
See Section 7.5 in the Introduction to the NAG Library CL Interface for further information.
Your licence key may have expired or may not have been installed correctly.
See Section 8 in the Introduction to the NAG Library CL Interface for further information.
A variable has a zero variance. All correlations involving the variable with zero variance will be returned as zero.
The accuracy of g02bwc is entirely dependent upon the accuracy of the elements of array r.
8Parallelism and Performance
g02bwc is not threaded in any implementation.
g02bwc may also be used to calculate the correlations between parameter estimates from the variance-covariance matrix of the parameter estimates as is given by several functions in this chapter.
A program to calculate the correlation matrix from raw data. The sum of squares and cross-products about the mean are calculated from the raw data by a call to g02buc. The correlation matrix is then calculated from these values.