Correlation matrix

The correlation matrix of random variables is the matrix which is equal to the standardized covariance matrix. The entry is computed as:

where is the standard deviation of , is the mean of , and is the number of samples.
, where the extremes indicate perfect correlation and 0 indicates no linear correlation.

The correlation matrix is symmetric (correlation is commutative) and has ones on the diagonal (each variable is perfectly correlated with itself).
For a standardized dataset, the correlation matrix is the same as the covariance matrix.