NAME

gbxcorr - Compute cross correlation matrix

SYNOPSIS

gbxcorr [options]

DESCRIPTION

Take as input a data matrix A with N rows and T columns

A = [ a_{t,i} ]

with t=1,..,T i=1,...,N

and compute the NxN correlation matrix C [ c_{i,j} ] following the method specified by option '-M': with method 0 it is

c_{i,j} = 1/(T-1) \sum_t (a_{t,i}-m_i) (a_{t,j}-m_j)

where m_i is the i-th mean and with method 1 it is

c_{i,j} = 1/T \sum_t a_{t,i} a_{t,j} .

Covariance is stored in the lower triangle while correlation coefficients are stored in the upper triangle.

WARNING: previous implementations were row-wise instead of column-wise

OPTIONS

-M

choose the method (default 0)

0

covariance/correlation with mean removal

1

covariance/correlation without mean removal

-F specify the input fields separators (default " \t")

-h this help

AUTHOR

Written by Giulio Bottazzi

REPORTING BUGS

Report bugs to <gbutils@googlegroups.com>

Package home page <http://cafim.sssup.it/~giulio/software/gbutils/index.html>

COPYRIGHT

Copyright © 2001-2018 Giulio Bottazzi This program is free software; you can redistribute it and/or modify it under the terms of the GNU General Public License (version 2) as published by the Free Software Foundation;

This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details.