IMSL Fortran Stat Library
 
Chapter 3 Correlation
Routines
The Correlation Matrix
Correlation, CORVC
Pooled covariance matrix, COVPL
Partial correlations, PCORR
Robust estimate of correlation matrix, RBCOV
Correlation Measures for a Contingency Table
The r × c contingency table, CTRHO
Tetrachoric correlation (2 × 2 tables), TETCC
A Dichotomous Variable with a Classification Variable
Specified values for the classification variable, BSPBS
Computed values for the classification variable, BSCAT
Measures Based Upon Ranks
Kendall coefficient of concordance, CNCRD
Kendall’s τ, KENDL
Exact frequencies for Kendall’s τ, KENDP