[Matrix-SIG] auto-correlation matrix in NumPy?

[Janne Sinkkonen]

Jean-Bernard ADDOR <jbaddor@sca.uqam.ca> writes:

> I need to compute the auto-correlation matrix of a matrix.

If you mean you want the correlation matrix of a data matrix, you
could do something like

def covariance(X):
    N=X.shape[0]
    mX=sum(X)/N
    return dot(transpose(X),X)/N-multiply.outer(mX,mX)

def correlation(X):
    C=covariance(X)
    V=diagonal(C)
    return C/sqrt(multiply.outer(V,V))

-- 
Janne