correlation matrix

Intel® Summary Statistics Library: what is new in the Update?

Intel® Summary Statistics Library 1.0 Update is available for downloading. It includes several features and benefits:

Algorithm for parameterization of correlation matrix. The algorithm transforms the input which lacks property of positive semidefiniteness into the output meeting properties of correlation matrix. The algorithm is based on spectral decomposition method and can be used in financial computations.

Intel® Summary Statistics Library: How to Manage With Oceans of Information?

Welcome to Intel® Summary Statistics Library, solution for parallel statistical processing of multi-dimensional datasets. It contains functions for initial statistical analysis of raw data which allow investigating structure of datasets and get their basic characteristics, estimates, and internal dependencies.

The library provides rich set of tools intended to compute various statistical estimates for datasets:

correlation matrix abonnieren