Introduction
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 COVARIANCES
. For data grouped by some auxiliary variable, routine POOLED_COV can be used to compute the pooled covariance matrix along with the means for each group.
Partial correlations or covariances are computed by PARTIAL_COV.
Function
ROBUST_COV
computes robust M-estimates of the mean and covariance matrix from a matrix of observations.