# Pearson's correlation for vectors with nans in matlab

The following Matlab project contains the source code and Matlab examples used for pearson's correlation for vectors with nans . Computes Pearson's product moment correlation for input vectors that contain NaN values.

# Multivariate statistical testing for the homogeneity of covariance matrices by the box's m. in matlab

The following Matlab project contains the source code and Matlab examples used for multivariate statistical testing for the homogeneity of covariance matrices by the box's m. . From a total multivariate data matrix and a significance level, the homogeneity covariance matrices are testing by the Box's M, given a Chi-square or F approximation in function of the group sample-size.

# Canonical correlation analysis between two sets of variables made on the same objects. in matlab

The following Matlab project contains the source code and Matlab examples used for canonical correlation analysis between two sets of variables made on the same objects. . Computes the interrelationships between two sets of variables made on the same objects without data.

# Canonical correlation analysis (cca) without data between two sets of variables made on the same obj in matlab

The following Matlab project contains the source code and Matlab examples used for canonical correlation analysis (cca) without data between two sets of variables made on the same obj . Computes the interrelationships between two sets of variables made on the same objects without data.

# Circular cross correlation in matlab

The following Matlab project contains the source code and Matlab examples used for circular cross correlation. CXCORR Circular Cross Correlation function estimates.

# Multivariate statistical testing for the homogeneity of covariance matrices without data by the box. in matlab

The following Matlab project contains the source code and Matlab examples used for multivariate statistical testing for the homogeneity of covariance matrices without data by the box. . From the covariance matrices (without data), groups size vector and a significance level (default = 0.

# Digital image correlation two threads in matlab

The following Matlab project contains the source code and Matlab examples used for digital image correlation two threads. This package is an add-on to 'Digital Image Correlation and Tracking' which allows to use two processors (or a dual Core) for the same Digital Image Correlation job.

# Windowed cross correlation (corrgram) in matlab

The following Matlab project contains the source code and Matlab examples used for windowed cross correlation (corrgram). Calculate windowed cross correlation between two signals A and B up to a pre-defined lag. Usage is similar to the Matlab function SPECGRAM.

# Confidence region radius in matlab

The following Matlab project contains the source code and Matlab examples used for confidence region radius. R = CRR(S) computes the radius of the mean-centered interval, circle, or sphere with 95% probability given S, which is either a vector of standard deviations or a covariance matrix from a multivariate normal distribution.

# Rectangular confidence regions in matlab

The following Matlab project contains the source code and Matlab examples used for rectangular confidence regions. R = RCR(S) computes the semi-edge-length of the mean-centered hypercube with 95% probability given S, which is either a covariance matrix or a vector of standard deviations from a multivariate normal distribution.

# Convert covariance matrix to correlation matrix in matlab

The following Matlab project contains the source code and Matlab examples used for convert covariance matrix to correlation matrix. The function is "remix" of native matlab cov2corr() function, which produces correlation matrix with elements on its main diagonal slightly greater or less then 1.

# Intraclass correlation coefficient (icc) in matlab

The following Matlab project contains the source code and Matlab examples used for intraclass correlation coefficient (icc). This function can calculate any of the 6 different ICCs defined by McGraw as well as their confidence intervals.

# Fast correlation between two vectors in matlab

The following Matlab project contains the source code and Matlab examples used for fast correlation between two vectors. % FASTCORRELATION computes the correlation between vectors x and y by % making use of fastcorr.

# Fast circular (periodic) cross correlation in matlab

The following Matlab project contains the source code and Matlab examples used for fast circular (periodic) cross correlation. Uses fft to calculate the circular cross correlation of two periodic signal vectors.

# Intraclass correlation coefficients in matlab

The following Matlab project contains the source code and Matlab examples used for intraclass correlation coefficients. Calculates 6 different intraclass correlation coefficients based on the schema described by Shrout & Fleiss (Psychol Bull. 1979;86:420-428). See comments in code.

# Salvaging a linear correlation matrix in matlab

The following Matlab project contains the source code and Matlab examples used for salvaging a linear correlation matrix. The solution of the nearest correlation matrix applies the hypershpere or spectral decomposition methods as outlined in Monte Carlo methods in Finance by Peter Jackel, Chapter 6. Use CorrelationExample.m that applies a simple example for the two cases.

# Intraclass correlation coefficient with confidence intervals in matlab

The following Matlab project contains the source code and Matlab examples used for intraclass correlation coefficient with confidence intervals. Computes intraclass coefficients after the model ICC(2,1) given by Shrout & Fleiss (1979). Also computes confidence intervals and performs test for significant difference to a given value.

# Downside covariance in matlab

The following Matlab project contains the source code and Matlab examples used for downside covariance. Y = DOWNSIDECOVARIANCE(Y) returns the downside covariance for columns of variable Y.

# Upside covariance in matlab

The following Matlab project contains the source code and Matlab examples used for upside covariance. Y = UPSIDECOVARIANCE(Y) returns the upside covariance for columns of variable Y.

# Nearest positive semi definite covariance matrix in matlab

The following Matlab project contains the source code and Matlab examples used for nearest positive semi definite covariance matrix. The function performs a nonlinear, constrained optimization to find a positive semi-definite matrix that is closest (2-norm) to a symmetric matrix that is not positive semi-definite which the user provides to the function.

# Exponentially weighted covariance matrix in matlab

The following Matlab project contains the source code and Matlab examples used for exponentially weighted covariance matrix. Calculates the RiskMetrics "Technical Document" (1996) exponentially weighted covariance matrix (p.179), correlation and volatilities. Input: data - needs to be in format T x k with T = # observations, k = # assets lambda = decay factor

# A faster way to computer a correlation matrix than corr in matlab

The following Matlab project contains the source code and Matlab examples used for a faster way to computer a correlation matrix than corr. A simple function that provides a much faster way to compute a correlation matrix than MATLAB's built in corr.m function.

# Plots correlation coefficients with confidence limits. in matlab

The following Matlab project contains the source code and Matlab examples used for plots correlation coefficients with confidence limits. . Correlation coefficients are difficult to compare and are often misused.

# Multivariate normal random vectors with fixed mean and covariance matrix in matlab

The following Matlab project contains the source code and Matlab examples used for multivariate normal random vectors with fixed mean and covariance matrix .  MVNRND2 Random vectors from the multivariate normal distribution.

# Generalized normalized cross correlation in matlab

The following Matlab project contains the source code and Matlab examples used for generalized normalized cross correlation. normxcorr2_general computes the normalized cross-correlation of matrices TEMPLATE and A.

# Weighted kendall rank correlation matrix in matlab

The following Matlab project contains the source code and Matlab examples used for weighted kendall rank correlation matrix. TAU = KENDALLTAU(Y) returns an N-by-N matrix containing the pairwise Kendall rank correlation coefficient between each pair of columns in the T-by-N matrix Y.

# Weighted correlation matrix in matlab

The following Matlab project contains the source code and Matlab examples used for weighted correlation matrix. WEIGHTEDCORRS returns a symmetric matrix R of weighted correlation coefficients calculated from an input T-by-N matrix Y whose rows are observations and whose columns are variables and an input T-by-1 vector w of weights for the observations.

# Weighted covariance matrix in matlab

The following Matlab project contains the source code and Matlab examples used for weighted covariance matrix. WEIGHTEDCOV returns a symmetric matrix C of weighted covariances calculated from an input T-by-N matrix Y whose rows are observations and whose columns are variables and an input T-by-1 vector w of weights for the observations.

# Meng's z test for correlated correlation coefficients in matlab

The following Matlab project contains the source code and Matlab examples used for meng's z test for correlated correlation coefficients. This function implements Meng's z-test for correlated correlations (Meng,   Rubin, & Rosenthal (1992), Comparing Correlated Correlation Coefficients,   Psych Bulletin 111(1), 172-175.

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