Covariance and Correlation

cvar(A, B) Returns the covariance of the elements of A and B given by

where the overbar indicates the complex conjugate.

corr(A, B) Returns the Pearson's r correlation coefficient of the elements in A and B.

Arguments:

• A and B are real or complex arrays of the same size.

Notes:

• See related definition for standard deviation.
• The cvar function divides by the total number of values, mn, rather than mn − 1. To find the covariance corresponding to a denominator of mn − 1, multiply the result of this function by mn / (mn − 1). Dividing by the "sample size minus one," rather than the sample size, provides a better estimate for the true population variance.

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