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IMSL Statistics Reference Guide
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Correlation and Covariance
Correlation and Covariance
This section contains the following topics:
Variances, Covariances, and Correlations
COVARIANCES Function
—Variance-covariance or correlation matrix.
PARTIAL_COV Function
—Partial correlations and covariances.
POOLED_COV Function
—Pooled covariance matrix.
ROBUST_COV Function
—Robust estimate of covariance matrix.
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