topic Re: Correlation Matrix Problem in SAS Programming

Correlation Matrix Problem

SOORISAS — Mon, 18 Aug 2014 10:09:02 GMT

I have a problem with Correlation matrix output.

As in the attached excel, this is my correlation matrix output dataset.

Please igore the yellow highlighted, as it is the replica and the red part, it is the correlation of same variables.

My interest is in the below the non-highlighted area.

My requirement,

B*A =.98

C*A=.98

Then it is obvious that B*C=.98. So, if that is the case I dont want this to be populated as .98, instead it should be populated as NULL or someother numeric value.

Basically i dont want the redundant correlation. Like this I have a 300*300 matrix. I think this is a complex problem, but your help is much appreciated.

Re: Correlation Matrix Problem

gergely_batho — Mon, 18 Aug 2014 13:13:26 GMT

This is not redundant information.

You can calculate upper and lower bounds for corr(B,C) from corr(A,B) and corr(A,C), but not the exact value.

Re: Correlation Matrix Problem

PaigeMiller — Mon, 18 Aug 2014 13:16:59 GMT

Then it is obvious that B*C=.98.

I don't think this is a true statement, I'm pretty sure that the correlation B*C can be numbers other than 0.98, and so I don't see how to proceed with the rest of your request, nor do I think it reasonable at this time to continue with the rest of your request.

Re: Correlation Matrix Problem

Rick_SAS — Tue, 19 Aug 2014 14:56:43 GMT

If B=C, then corr(B,C)=1.

Re: Correlation Matrix Problem

stat_sas — Tue, 19 Aug 2014 16:18:06 GMT

Hi,

Why not eliminate redundant variables first using some data reduction technique? This will automattically eliminate redundant correlation.