public static double [ ] [ ] cor ( double [ ] [ ] data , double [ ] mu ) { double [ ] [ ] sigma = cov ( data , mu ) ; int n = data [ 0 ] . length ; double [ ] sd = new double [ n ] ; for ( int i = 0 ; i < n ; i ++ ) { sd [ i ] = sqrt ( sigma [ i ] [ i ] ) ; } for ( int i = 0 ; i < n ; i ++ ) { for ( int j = 0 ; j <= i ; j ++ ) { sigma [ i ] [ j ] /= sd [ i ] * sd [ j ] ; sigma [ j ] [ i ] = sigma [ i ] [ j ] ; } } return sigma ; }
Returns the sample correlation matrix .