"Correlation Matrix Operator - which kind of correlation coefficient?"
Hi,
i was wondering which kind of correlation coefficient is calculated by the "Correlation Matrix Operator"?
Since I have a wide variety of factors and factor distributions (many of which are not Gaussian), the Spearman correlation is preferred to the more familiar Pearson correlation (as Pearson correlation assumes the variables are Gaussian).
Best regards,
Matthias
i was wondering which kind of correlation coefficient is calculated by the "Correlation Matrix Operator"?
Since I have a wide variety of factors and factor distributions (many of which are not Gaussian), the Spearman correlation is preferred to the more familiar Pearson correlation (as Pearson correlation assumes the variables are Gaussian).
Best regards,
Matthias