IDL Analyst Reference Guide: Correlation and Covariance

Correlation and Covariance Routines

IMSL_COVARIANCES—Variance-covariance or correlation matrix.

IMSL_PARTIAL_COV—Partial correlations and covariances.

IMSL_POOLED_COV—Pooled covariance matrix.

IMSL_ROBUST_COV—Robust estimate of covariance matrix.

  IDL Online Help (March 06, 2007)