Correlation, as it's defined, is returning the covariance matrix instead of the
correlation matrix.
In 'addons/stats/base/multivariate' correlation is defined as:
corr=: cov % * & stddev
corr ?. 5 3$0
0.185386 _0.0395232 0.023712
_0.0395232 0.109811 0.0778964
0.023712 0.0778964 0.0764413
cov ?. 5 3$0
0.185386 _0.0395232 0.023712
_0.0395232 0.109811 0.0778964
0.023712 0.0778964 0.0764413
Shouldn't it be something more like:
corr2=: cov % (*"0 1)~ @ stddev
corr2 ?. 5 3$0
1 _0.277006 0.199189
_0.277006 1 0.850217
0.199189 0.850217 1
Thank you,
Brian
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