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covcorm

Calculates a covariance or correlation matrix.

Prototype

	function covcorm (
		x [*][*] : numeric,  
		iopt [2] : integer   
	)

	return_val  :  numeric

Arguments

x

Data array of size(nrow,ncol).

iopt

  • iopt(0)=0 means return the covariance matrix.
  • iopt(0)=1 means return the correlation matrix.

  • iopt(1)=0 return in symmetric storage mode: 1D of size [ nrow*(nrow+1)/2 ].
  • iopt(1)=1 means that the return matrix will be a 2D array (nrow,nrow).

There's a bug in V6.1.2 of this function in which "iopt" behaves the opposite of how it is described:

  • iopt=(/0,1/) behaves as if you had set iopt=(/1,0/)
  • iopt=(/1,0/) behaves as if you had set iopt=(/0,1/)
  • iopt=(/0,0/) or (/1,1/) works as described

This will be fixed in the V6.2.0 release of NCL.

Return value

See the description of iopt. The return numeric type will be double if x is double and float otherwise. The trace of the calculated matrix is returned as an attribute.

Description

There's a bug in the handling of "iopt" in NCL V6.1.2. See the Argument section above.

Standard calculation of covariance or correlation matrix. The original matrix may have to be reshaped to a two-dimensional array. The reshaping may be accomplished by the ndtooned and onedtond functions.

Missing values (x@_FillValue) are allowed. However, interpretation of statistics derived from an input array, x, containing missing values should be done with appropriate caution because the elements of the derived covariance or correlation matrix will use differing numbers of values.

See Also

covcorm_xy, ndtooned, onedtond

Examples

The following examples use data from:

  Statistics and Data Analysis in Geology
  John C Davis
  John Wiley and Sons: 2002:   3rd Edition: 
Specifically, the folllowing data which are contained within the ascii text file: "BOXES.TXT"

  3.760  3.660  0.540  5.275  9.768 13.741  4.782
  8.590  4.990  1.340 10.022  7.500 10.162  2.130
  6.220  6.140  4.520  9.842  2.175  2.732  1.089
  7.570  7.280  7.070 12.662  1.791  2.101  0.822
  9.030  7.080  2.590 11.762  4.539  6.217  1.276
  5.510  3.980  1.300  6.924  5.326  7.304  2.403
  3.270  0.620  0.440  3.357  7.629  8.838  8.389
  8.740  7.000  3.310 11.675  3.529  4.757  1.119
  9.640  9.490  1.030 13.567 13.133 18.519  2.354
  9.730  1.330  1.000  9.871  9.871 11.064  3.704
  8.590  2.980  1.170  9.170  7.851  9.909  2.616
  7.120  5.490  3.680  9.716  2.642  3.430  1.189
  4.690  3.010  2.170  5.983  2.760  3.554  2.013
  5.510  1.340  1.270  5.808  4.566  5.382  3.427
  1.660  1.610  1.570  2.799  1.783  2.087  3.716
  5.900  5.760  1.550  8.388  5.395  7.497  1.973
  9.840  9.270  1.510 13.604  9.017 12.668  1.745
  8.390  4.920  2.540 10.053  3.956  5.237  1.432
  4.940  4.380  1.030  6.678  6.494  9.059  2.807
  7.230  2.300  1.770  7.790  4.393  5.374  2.274
  9.460  7.310  1.040 11.999 11.579 16.182  2.415
  9.550  5.350  4.250 11.742  2.766  3.509  1.054
  4.940  4.520  4.500  8.067  1.793  2.103  1.292
  8.210  3.080  2.420  9.097  3.753  4.657  1.719
  9.410  6.440  5.110 12.495  2.446  3.103  0.914

Example 1
Compute the covariance matrix [iopt(0)=0] and return in both nxn mode [iopt(1)=1] and symmetric storage mode [iopt(1)=0]. Here the input matrix is reordered to simulate a 'space x time ' which is most commonly used for this type of computation.
       diri     = "./"
       fili     = "BOXES.TXT"
                                          ; read the entire data array
       ntim     = 25                      ; number of observations [number of time steps]
       mpts     = 7                       ; number of variables or grid points
       data     = asciiread( diri+fili, (/ntim,mpts/), "float")

       data!0   = "time"                  ; name the dimensions to facilitate reorder
       data!1   = "gridpts"


       cov_nxn  = covcorm( data(gridpts|:,time|:), (/0,1/)  )
       printVarSummary(cov_nxn)
       write_matrix (cov_nxn, "7f7.3", False)

       cov_ssm  = covcorm( data(gridpts|:,time|:), (/0,0/)  )
       print(cov_ssm)
The output values in nxn storage mode (iopt(1)=1) are:

Variable: cov_nxn
Dimensions and sizes:	[7] x [7]
trace :	57.21125

  5.400  3.260  0.778  6.390  2.155  3.035 -1.996
  3.260  5.846  1.465  6.083  1.312  2.877 -2.370
  0.778  1.465  2.774  2.204 -3.839 -5.167 -1.740
  6.390  6.083  2.204  9.107  1.611  2.783 -3.283
  2.155  1.312 -3.839  1.611 10.714 14.774  2.252
  3.035  2.877 -5.167  2.783 14.774 20.776  2.622
 -1.996 -2.370 -1.740 -3.283  2.252  2.622  2.594

The output values in symmetric storage mode (iopt(1)=0) are:
Variable: cov_ssm
Dimensions and sizes:	[28]
trace :	57.21125

       5.400
       3.260
       5.846
       0.778
        :
      -3.283
       2.252
       2.622
       2.594
Example 2 Same as Example 1 but return the correlation matrix [iopt(0)=1].

Variable: cor_nxn
Dimensions and sizes:	[7] x [7]
trace :	7
  
  1.000  0.580  0.201  0.911  0.283  0.287 -0.533
  0.580  1.000  0.364  0.834  0.166  0.261 -0.609
  0.201  0.364  1.000  0.439 -0.704 -0.681 -0.649
  0.911  0.834  0.439  1.000  0.163  0.202 -0.676
  0.283  0.166 -0.704  0.163  1.000  0.990  0.427
  0.287  0.261 -0.681  0.202  0.990  1.000  0.357
 -0.533 -0.609 -0.649 -0.676  0.427  0.357  1.000

The output values in symmetric storage mode (iopt(1)=0) are:

Variable: cor_ssm
Dimensions and sizes:	[28]
trace :	7

(0)	 1
(1)	0.580
(2)	 1
(3)	0.201
(4)	0.364
         :
(23)	-0.649
(24)	-0.676
(25)	0.427
(26)	0.357
(27)	 1