This chapter is concerned with measures of correlation for bivariate data as follows:
• The usual multivariate measures of correlation and covariance for continuous random variables are produced by routine imsls_f_covariances.
• For data grouped by some auxiliary variable, routine imsls_f_pooled_covariances can be used to compute the pooled covariance matrix along with the means for each group.
• Partial correlations or covariances are computed by imsls_f_partial_covariances.
• Function imsls_f_robust_covariances computes robust M-estimates of the mean and covariance matrix from a matrix of observations.
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