I would like to ask: How to obtain a robust correlation/ covariance matrix?
Suppose there is a data panel as follow:
x1 | x2 | x3 | x4 | x5 | x6 | x7 |
0 | 1 | 0.2 | 1.1 | 2.4 | 10.2 | 1.1 |
0 | 0 | 0.7 | 1.2 | 2.1 | 1.4 | 2 |
1 | 1 | 0.4 | 1.3 | 2.2 | 6.8 | 1.5 |
corr x1 x2 x3 x4 x5 x6 x7
matrix r = r(C)
But for a robust correlation/ covariance matrix, which commands can be used to calculate this?
Thank you in advance
Best regards,
Anh
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