MATLAB: Find a correlation

correlation

I have a Matrix
 X=[0.231914928  3.126057882  -1.752476846
-0.779092587  2.143243132  -1.944363312
-1.744892449  1.206497824  -2.267829067
-0.276817947  1.774687601  -1.768924258
-0.367233254  1.697905199  -1.508506912
-0.367233254  1.697905199  -1.508506912
-1.378240769  0.814907572  -1.700393377
-2.389248284  -0.060411815  -1.892279842
-1.333033116  0.860977013  -1.831972668
0.135041386  1.40613207  -1.333067858]
 Y=[0.253549664
-0.231692981
0.768395971
2.988670669
-0.038625616
-0.038625616
-0.525155376
-1.011685136
0.961463336
3.181738034]
At first I want to calculate the correlation coefficient between all X columns which can be done like this
[R]=corrcoef(X)
then I want to see which pair of columns has the highest correlation together for example column 1 with 2 ? 1 with 3? 2 with 3?
then the one that has correlation more than 0.5 lets say for example columns 1 and 2 , then check their correlation with y and say which one is more correlated

Best Answer

For highest correlation:
maxR = max(max(triu(R,1))) % highest correlation
[row,col] = find(R==maxR,1,'first')
The greatest correlation occurs between the columns row an col.
Second question:
[r w] = max([corr(X(:,row),Y) corr(X(:,col),Y)])
w equal to 1 means that X(:,row) has a higher correlation than X(:,col). w equal to 2 mean that X(:,col) has a higher correlation than X(:,row).
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