The concept of correlations between different assets is a cornerstone of Markowitz's optimal portfolio theory, especially for risk management purposes (Markowitz 1968). In a nutshell, correlations ...

Suppose estimates are available for correlations between pairs of variables but that the matrix of correlation estimates is not positive definite. In various applications, having a valid correlation ...

This example defines modules to compute correlation coefficients between numeric variables and standardized values for a set of data. /* Module to compute correlations */ start corr; n=nrow(x); /* ...

We study the large-sample joint distribution of Z, the 1/2p(p - 1) Fisher z-transforms of the elements in a p variable correlation matrix. Under the null hypothesis of equal population correlations ...

Harry Markowitz famously quipped that diversification is the only free lunch in investing. What he did not say is that this is only true if correlations are known and stable over time. Markowitz’s ...

The BLOCKS statement finds a design that maximizes the determinant |X'AX| of the treatment information matrix, where A depends on the block or covariate model. Alternatively, you can directly specify ...

We all know the truism “Correlation doesn’t imply causation,” but when we see lines sloping together, bars rising together, or points on a scatterplot clustering, the data practically begs us to ...