stats_correlation-matrix
Compute Pearson or Spearman correlation matrices for multiple assets, with eigenvalue decomposition to analyze explained variance and principal components.
Instructions
Correlation and covariance matrices with optional eigenvalue decomposition.
Use when computing a correlation matrix with eigenvalue decomposition for multiple assets. Provide a 2D array of return series. Returns: Pearson and Spearman correlation matrices, eigenvalues, eigenvectors, and explained variance ratios.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| method | No | Correlation method | pearson |
| series | Yes | Named data series, e.g. {"A": [...], "B": [...]} | |
| include_eigenvalues | No | Whether to compute eigenvalue decomposition |