Why does corrcoef return a matrix

Question

It seems strange to me that np corrcoef returns a matrix    correlation1   corrcoef Strategy1Returns Strategy2Returns      1          -0 99598935    -0 99598935  1              Does anyone know why this is the case and whether it is possible to return just one value in the classical sense

User · Answer

The function Correlate of numpy works with 2 1D arrays that you want to correlate and returns one correlation value

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You can use the following function to return only the correlation coefficient   def pearson r x  y      Compute Pearson correlation coefficient between two arrays           Compute correlation matrix    corr mat   np corrcoef x  y        Return entry  0 1     return corr mat 0 1

User · Answer

It allows you to compute correlation coefficients of  2 data sets  e g    gt  gt  gt  from numpy import    gt  gt  gt  a   array  1 2 3 4 6 7 8 9    gt  gt  gt  b   array  2 4 6 8 10 12 13 15    gt  gt  gt  c   array  -1 -2 -2 -3 -4 -6 -7 -8    gt  gt  gt  corrcoef  a b c   array    1            0 99535001  -0 9805214             0 99535001   1           -0 97172394           -0 9805214   -0 97172394   1               Here we can get the correlation coefficient of a b  0 995   a c  -0 981  and b c  -0 972  at once  The two-data-set case is just a special case of N-data-set class  And probably it s better to keep the same return type  Since the  one value  can be obtained simply with   gt  gt  gt  corrcoef a b  1 0  0 99535001355530017   there s no big reason to create the special case

User · Answer

corrcoef returns the normalised covariance matrix   The covariance matrix is the matrix  Cov  X  X      Cov  X  Y    Cov  Y  X      Cov  Y  Y     Normalised  this will yield the matrix   Corr  X  X      Corr  X  Y    Corr  Y  X      Corr  Y  Y     correlation1 0  0   is the correlation between Strategy1Returns and itself  which must be 1  You just want correlation1  0  1

User · Answer

The correlation matrix is the standard way to express correlations between an arbitrary finite number of variables  The correlation matrix of N data vectors is a symmetric N    N matrix with unity diagonal  Only in the case N   2 does this matrix have one free parameter

User · Answer

Consider using matplotlib cbook pieces  for example   import matplotlib cbook as cbook segments   cbook pieces np arange 20   3  for s in segments       print s

[python] Why does corrcoef return a matrix?

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