Tagged Questions

0
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0answers
7 views

Why am I not getting a symmetrical correlation matrix in R?

I am trying to obtain the correlation between two matrices of equal dimensions. I've used both column by column correlation and the canonical correlation but I don't get a symmetrical correlation ...
1
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1answer
68 views

Floating point issues when transforming an arbitrary correlation matrix to positive semi-definite

I'm following Peter Jackel's book "Monte Carlo Methods in Finance", where an algorithm for transforming malformed correlation matrices into acceptable correlation matrices (positive semi-definite) to ...
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0answers
98 views

Help with correlation concepts

EDIT: I rewrote the whole question after following the suggestions given in the comments below, I hope everything's clear now. I'm not very good at statistics, but I need a few tips to understand ...
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1answer
262 views

Finding the correlation of every row and column between 2 matrices in R, then taking the max and min values

I'm using R, and I need to find the correlation between every row and column of matrix A and B (ex: the correlation between the 1st row of matrix A and 1st column of matrix B, 2nd row of matrix A and ...
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2answers
441 views

Measuring correlation between two matrices

I have two matrices A and B of the same dimensions. Each cell a(i,j) represents some parameter I'm interested in, and b(i,j) represents the corresponding value in the other matrix. The cells are not ...
1
vote
1answer
176 views

How to resample matrices to test for the robustness of their correlation?

I have several populations where I have morphology and diet for each individual. I am interested in the correlation between diet and morphological distances. However the number of individuals in each ...
2
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2answers
806 views

What test is suitable to calculate the correlation between two matrices of spatially distributed variables?

I have two matrices which each represent the distribution of a different variable on the same spatial domain (something like the distribution of cows on a field on one day versus the distribution of ...
6
votes
1answer
372 views

How to get the correlation between two large (sparse) matrices?

I have two large (sparse) matrices (500000*500000) and would like to perform the mantel test to get a similarity measure. Is there a way to break-up these matrices into smaller ones and perform the ...
3
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1answer
171 views

Off-diagonal range for guaranteed positive definiteness?

Consider the problem of randomly generating a $p \times p$ covariance matrix $\Sigma$ with the diagonal entries constrained to be 1, and the off-diagonal entries $\Sigma_{ij}=\Sigma_{ji} \sim ...
2
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1answer
93 views

How do I do temporal correlations of matrices?

I have a some data like the following explaining the presence of a relation between various entities (A,B,C,...) in my system at time ...
8
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2answers
242 views

Generate random correlation matrix that has approximately normal entries

I would like to generate a random correlation matrix such that the distribution of the entries (except 1) look approximately like normal. The motivation is this. For a set of n time series data, the ...