Covariance and Correlation (Matrices)
Cov and Cor compute the covariance or correlation of x and y if these
are vectors. If x and y are matrices then the
covariances (or correlations) between the columns of x and the
columns of y are computed.
Cov(x, y = NULL, use = "everything",
method = c("pearson", "kendall", "spearman"))
Cor(x, y = NULL, use = "everything",
method = c("pearson", "kendall", "spearman"))x |
a numeric vector, matrix or data frame. |
y |
|
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
|
method |
a character string indicating which correlation
coefficient (or covariance) is to be computed. One of
|
For Cov and Cor one must either give a matrix or
data frame for x or give both x and y.
The inputs must be numeric (as determined by is.numeric:
logical values are also allowed for historical compatibility): the
"kendall" and "spearman" methods make sense for ordered
inputs but xtfrm can be used to find a suitable prior
transformation to numbers.
If use is "everything", NAs will
propagate conceptually, i.e., a resulting value will be NA
whenever one of its contributing observations is NA.
If use is "all.obs", then the presence of missing
observations will produce an error. If use is
"complete.obs" then missing values are handled by casewise
deletion (and if there are no complete cases, that gives an error).
"na.or.complete" is the same unless there are no complete
cases, that gives NA.
Finally, if use has the value "pairwise.complete.obs"
then the correlation or covariance 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
semi-definite, as well as NA entries if there are no complete
pairs for that pair of variables. For Cov and Var,
"pairwise.complete.obs" only works with the "pearson"
method.
Note that (the equivalent of) Var(double(0), use = *) gives
NA for use = "everything" and "na.or.complete",
and gives an error in the other cases.
The denominator n - 1 is used which gives an unbiased estimator
of the (co)variance for i.i.d. observations.
These functions return NA when there is only one
observation (whereas S-PLUS has been returning NaN), and
fail if x has length zero.
For Cor(), if method is "kendall" or
"spearman", Kendall's tau or Spearman's
rho statistic is used to estimate a rank-based measure of
association. These are more robust and have been recommended if the
data do not necessarily come from a bivariate normal distribution.
For Cov(), a non-Pearson method is unusual but available for
the sake of completeness. Note that "spearman" basically
computes Cor(R(x), R(y)) (or Cov(., .)) where R(u)
:= rank(u, na.last = "keep"). In the case of missing values, the
ranks are calculated depending on the value of use, either
based on complete observations, or based on pairwise completeness with
reranking for each pair.
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
sweep(.., FUN = "/") twice.
For r <- Cor(*, use = "all.obs"), it is now guaranteed that
all(abs(r) <= 1).
Becker, R. A., Chambers, J. M. and Wilks, A. R. (1988) The New S Language. Wadsworth & Brooks/Cole.
cor.test for confidence intervals (and tests).
cov.wt for weighted covariance computation.
## Two simple vectors Cor(1:10, 2:11) # == 1 ## Correlation Matrix of Multivariate sample: (Cl <- Cor(longley)) ## Graphical Correlation Matrix: symnum(Cl) # highly correlated ## Spearman's rho and Kendall's tau symnum(clS <- Cor(longley, method = "spearman")) symnum(clK <- Cor(longley, method = "kendall")) ## How much do they differ? i <- lower.tri(Cl) Cor(cbind(P = Cl[i], S = clS[i], K = clK[i])) ##--- Missing value treatment: C1 <- Cov(swiss) range(eigen(C1, only.values = TRUE)$values) # 6.19 1921 ## swM := "swiss" with 3 "missing"s : swM <- swiss colnames(swM) <- abbreviate(colnames(swiss), min=6) swM[1,2] <- swM[7,3] <- swM[25,5] <- NA # create 3 "missing" ## Consider all 5 "use" cases : (C. <- Cov(swM)) # use="everything" quite a few NA's in cov.matrix try(Cov(swM, use = "all")) # Error: missing obs... C2 <- Cov(swM, use = "complete") stopifnot(identical(C2, Cov(swM, use = "na.or.complete"))) range(eigen(C2, only.values = TRUE)$values) # 6.46 1930 C3 <- Cov(swM, use = "pairwise") range(eigen(C3, only.values = TRUE)$values) # 6.19 1938 ## Kendall's tau doesn't change much: symnum(Rc <- Cor(swM, method = "kendall", use = "complete")) symnum(Rp <- Cor(swM, method = "kendall", use = "pairwise")) symnum(R. <- Cor(swiss, method = "kendall")) ## "pairwise" is closer componentwise, summary(abs(c(1 - Rp/R.))) summary(abs(c(1 - Rc/R.))) ## but "complete" is closer in Eigen space: EV <- function(m) eigen(m, only.values=TRUE)$values summary(abs(1 - EV(Rp)/EV(R.)) / abs(1 - EV(Rc)/EV(R.)))
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