MATLAB: Correlation Coefficient (Corrcoef)

correlation coefficientcovariance

Suppose I have a matrix A=[3,2;2,3]. If I want to find the correlation coefficients of A using Aij/(Aii*Ajj)^1/2, I get the matrix C=[1 0.666;0.666 1](This result is also true, if I use the matlab command cov2corr()). But if I use the matlab command corrcoef(), which is using the same formula to calculate the correlation coefficients, I get the result C=[1 -1;-1 1]. Why is the result different? Kindly guide me.

Best Answer

Aij/(Aii*Ajj)^1/2
is not the matrix of correlation coefficients of A.
Cij/(Cii*Cjj)^1/2
is the matrix of correlation coefficients of A, where C is the covariance matrix of A.
This is explained in the Description section of the documentation for corrcoef.
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