Built-in Mathematica Symbol

Correlation

Correlation[v₁, v₂]
gives the correlation between the vectors v₁ and v₂.

Correlation[m]
gives the correlation matrix for the matrix m.

Correlation[m₁, m₂]
gives the correlation matrix for the matrices m₁ and m₂.

Correlation[v₁, v₂] is equivalent to Covariance[v₁, v₂]/(StandardDeviation[v₁]StandardDeviation[v₂]).

For a matrix m with p columns Correlation[m] is a p×p matrix of the covariances between columns of m.

For an n×p matrix m₁ and an n×q matrix m₂ Correlation[m₁, m₂] is a p×q matrix of the correlations between columns of m₁ and columns of m₂.

Correlation between two vectors:

Correlation matrix for a matrix:

Correlation matrix for two matrices:

Out[1]//MatrixForm=