s-news
[Top] [All Lists]
<prev [Date] next>
[Advanced]
 <prev [Thread] next>

Find the K largest & smallest entries in a Correlation Matrix

from [Paul Lasky] [Permanent Link][Original]
To: <s-news@lists.biostat.wustl.edu>
Subject: Find the K largest & smallest entries in a Correlation Matrix
From: "Paul Lasky" <phlasky@earthlink.net>
Date: Sat, 4 Jun 2005 08:20:19 -0700
Domainkey-signature: a=rsa-sha1; q=dns; c=simple; s=test1; d=earthlink.net; h=Received:Reply-To:From:To:Subject:Date:Message-ID:MIME-Version:Content-Type:X-Priority:X-MSMail-Priority:X-Mailer:Importance:X-MimeOLE; b=HeoOfgvZ54yY0WZ44edRi5lk34a8HBKbtE+LrVqSPhYOO3MPpGAKS2Y+V9Y4hdZ8;
Importance: Normal
Reply-to: <phlasky@earthlink.net>

 

 

How do I find the k largest and smallest entries in a large correlation matrix and their addresses ( excluding the main diagonal entries of 1?)

 

For example, given the correlation matrix for all SP500 stocks, find the l0 largest and smallest pairs of different symbols.

 

   Paul H. Lasky

   P & B Consultants

 

[More with this subject...]
<Prev in Thread] Current Thread [Next in Thread>
Previous by Date:  Re: Complex sample designs in S-plus (and R), Alan Zaslavsky
Next by Date:  Re: Find the K largest & smallest entries in a Correlation Matrix, Patrick Burns
Previous by Thread:  Complex sample designs in S-plus (and R), David Kaplan
Next by Thread:  Re: Find the K largest & smallest entries in a Correlation Matrix, Patrick Burns
Indexes:  [Date] [Thread] [Top] [All Lists]