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 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]  │
   └────────────────────────┘