\name{var} \title{Correlation, Variance and Covariance (Matrices)} \usage{ var(x, y, na.rm = FALSE, use) cov(x, y, use = "all.obs", method = c("pearson", "kendall", "spearman")) cor(x, y, use = "all.obs", method = c("pearson", "kendall", "spearman")) cov2cor(V) } \alias{var} \alias{cov} \alias{cor} \alias{cov2cor} \alias{cor,ANY,ANY-method} \alias{cov,ANY,ANY-method} \alias{var,ANY,ANY-method} \alias{cor,ANY,missing-method} \alias{cov,ANY,missing-method} \alias{var,ANY,missing-method} \description{ \code{var}, \code{cov} and \code{cor} compute the variance of \code{x} and the covariance or correlation of \code{x} and \code{y} if these are vectors. If \code{x} and \code{y} are matrices then the covariances (or correlations) between the columns of \code{x} and the columns of \code{y} are computed. \code{cov2cor} scales a covariance matrix into the corresponding correlation matrix \emph{efficiently}. } \arguments{ \item{x}{a numeric vector, matrix or data frame.} \item{y}{\code{NULL} (default) or a vector, matrix or data frame with compatible dimensions to \code{x}. The default is equivalent to \code{y = x} (but more efficient).} \item{na.rm}{logical. Should missing values be removed?} \item{use}{an optional character string giving a method for computing covariances in the presence of missing values. This must be (an abbreviation of) one of the strings \code{"all.obs"}, \code{"complete.obs"} or \code{"pairwise.complete.obs"}.} \item{method}{a character string indicating which correlation coefficient (or covariance) is to be computed. One of \code{"pearson"} (default), \code{"kendall"}, or \code{"spearman"}, can be abbreviated.} \item{V}{symmetric numeric matrix, usually positive definite such as a covariance matrix.} } \value{For \code{r <- cor(*, use = "all.obs")}, it is now guaranteed that \code{all(r <= 1)}. } \details{ For \code{cov} and \code{cor} one must \emph{either} give a matrix or data frame for \code{x} \emph{or} give both \code{x} and \code{y}. \code{var} is just another interface to \code{cov}, where \code{na.rm} is used to determine the default for \code{use} when that is unspecified. If \code{na.rm} is \code{TRUE} then the complete observations (rows) are used (\code{use = "complete"}) to compute the variance. Otherwise (\code{use = "all"}), \code{var} will give an error if there are missing values. If \code{use} is \code{"all.obs"}, then the presence of missing observations will produce an error. If \code{use} is \code{"complete.obs"} then missing values are handled by casewise deletion. Finally, if \code{use} has the value \code{"pairwise.complete.obs"} then the correlation between each pair of variables is computed using all complete pairs of observations on those variables. This can result in covariance or correlation matrices which are not positive semidefinite. The denominator \eqn{n - 1} is used which gives an unbiased estimator of the (co)variance for i.i.d. observations. These functions return \code{\link{NA}} when there is only one observation (whereas S-PLUS has been returning \code{NaN}), and %from \R 1.2.3 fail if \code{x} has length zero. For \code{cor()}, if \code{method} is \code{"kendall"} or \code{"spearman"}, Kendall's \eqn{\tau}{tau} or Spearman's \eqn{\rho}{rho} statistic is used to estimate a rank-based measure of association. These are more robust and have be recommended if the data do not necessarily come from a bivariate normal distribution.\cr For \code{cov()}, a non-Pearson method is unusual but available for the sake of completeness. Note that \code{"spearman"} basically computes \code{cor(R(x), R(y))} (or \code{cov(.,.)}) where \code{R(u) := rank(u, na.last="keep")}. Scaling a covariance matrix into a correlation one can be achieved in many ways, mathematically most appealing by multiplication with a diagonal matrix from left and right, or more efficiently by using \code{\link{sweep}(.., FUN = "/")} twice. The \code{cov2cor} function is even a bit more efficient, and provided mostly for didactical reasons. } \references{ Becker, R. A., Chambers, J. M. and Wilks, A. R. (1988) \emph{The New S Language}. Wadsworth \& Brooks/Cole. } \seealso{ \code{\link{cor.test}} (package \pkg{ctest}) for confidence intervals (and tests). \code{\link{cov.wt}} for \emph{weighted} covariance computation. \code{\link{sd}} for standard deviation (vectors). } \examples{ x <- externalNumeric(10) x[] <- 1:10 var(x)# 9.166667 var(x[1:5],x[1:5])# 2.5 ## Two simple vectors cor(x,x+1)# == 1 } \keyword{univar} \keyword{multivariate} \keyword{array}