天软金融分析.NET函数大全 > TSL函数 > 数学函数 > 多元统计分析

Corr    

简述
计算相关系数矩阵及其检验P值
定义
Corr(A:Array of Real;type:Integer;tail:String):Array;
参数
名称类型说明
AArray of Real样本数据观测矩阵，二维数字数组
typeInteger1:pearson相关；2:Kendall等级相关；3:Spearman秩相关
tailString假设检验的三种类型，字符串，取值为both、left和right，缺省是只输出相关系数
  • 范例

    A:=rand(3,4);
    Return corr(A,1);//返回的是一般相关系数矩阵

    输出结果：

    A:=rand(3,4);
    Return ret := corr(A,1,'both');

    输出结果：
    array(
    (
    (1,-0.997183665009044,-0.25079062964811,0.52903553507686),
    (-0.997183665009044,1,0.177482907109564,-0.463902099303707),
    (-0.25079062964811,0.177482907109564,1,-0.954156728736678),
    (0.52903553507686,-0.463902099303707,-0.954156728736678,0.999999999999999)),
    (
    (0.00,0.0477902336084508,0.83861889909013,0.645107717271616),
    (0.0477902336084508,0.00,0.886409132694126,0.692897950958597),
    (0.83861889909013,0.886409132694126,0.00,0.1935111818216),
    (0.645107717271616,0.692897950958597,0.1935111818216,2.683151079097E-8)))
    Ret[0]：相关系数矩阵
    Ret[1]：相关系数假设检验P值
    参考
    Covariance Corr_partial CorrelationMatrix Corrcoef Corr_partial Distance 
相关