correlation_test

correlation_test, a MATLAB code which calls correlation(), which contains examples of statistical correlation functions.

Licensing:

The computer code and data files described and made available on this web page are distributed under the MIT license

Related Data and Programs:

correlation, a MATLAB code which contains examples of statistical correlation functions.

Source Code:

• correlation_test.m, calls all the tests;
• correlation_test.sh, runs all the tests;
• correlation_test.txt, the output file;

• correlation_test01.m, plots each correlation function with unit correlation length;
• correlation_test02.m, plots sample paths for each correlation function using SAMPLE_PATHS_CHOLESKY and SAMPLE_PATHS_EIGEN.
• correlation_test03.m, plots each correlation function with several correlation lengths;
• correlation_test04.m, converts between correlation and covariance matrices.
• correlation_test05.m, plots the Brownian correlation function.
• correlation_test06.m, plots sample paths of the Brownian correlation function.