ClickHouse/docs/en/sql-reference/aggregate-functions/reference/corrmatrix.md

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corrMatrix

Computes the correlation matrix over N variables.

Syntax

corrMatrix(x[, ...])

Arguments

• x — a variable number of parameters. (U)Int*, Float*, Decimal.

Returned value

• Correlation matrix. Array(Array(Float64)).

Example

Query:

DROP TABLE IF EXISTS test;
CREATE TABLE test
(
    `a` UInt32,
    `b` Float64,
    `c` Float64,
    `d` Float64
)
ENGINE = Memory;
INSERT INTO test(a, b, c, d) VALUES (1, 5.6,-4.4, 2.6),(2, -9.6, 3, 3.3),(3, -1.3,-4, 1.2),(4, 5.3,9.7,2.3),(5, 4.4,0.037,1.222),(6, -8.6,-7.8,2.1233),(7, 5.1,9.3,8.1222),(8, 7.9,-3.6,9.837),(9, -8.2,0.62,8.43555),(10, -3,7.3,6.762);

SELECT arrayMap(x -> round(x, 3), arrayJoin(corrMatrix(a, b, c, d))) AS corrMatrix
FROM
(
    SELECT
        a,
        b,
        c,
        d
    FROM test
)

Result:

   ┌─corrMatrix─────────────┐
1. │ [1,-0.096,0.243,0.746] │
2. │ [-0.096,1,0.173,0.106] │
3. │ [0.243,0.173,1,0.258]  │
4. │ [0.746,0.106,0.258,1]  │
   └────────────────────────┘