The correlation matrix of random variables 
having positive standard
deviations 
is the matrix 
with entries
It is the standardized covariance matrix. Every correlation matrix is real symmetric, positive
semidefinite, and has unit diagonal. Conversely,
every real symmetric positive
semidefinite matrix with unit diagonal
is a correlation matrix.
See also
Correlation Coefficient,
Covariance Matrix,
Positive
Semidefinite Matrix,
Random Variable
Explore with Wolfram|Alpha
References
Mardia, K. V.; Kent, J. T.; and Bibby, J. M. Multivariate
Analysis. London, England: Academic Press, 1979.
Cite this as:
Weisstein, Eric W. "Correlation Matrix."
From MathWorld--A Wolfram Resource. https://mathworld.wolfram.com/CorrelationMatrix.html
Subject classifications
