Correlation coefficients
r = lowdisc_corrcoef ( x )
Returns a matrix r of correlation coefficients calculated from an input matrix X whose rows are observations and whose columns are variables. The matrix r = corrcoef(x) is related to the covariance matrix c = cov(X) by r(i,j) = c(i,j) / sqrt(c(i,i) * c(j,j)).
The cov function comes from Stixbox.
TODO : return p-values
// Uncorrelated data x = grand(30,4,"nor",0,1) // Introduce correlation. x(:,4) = sum(x,2); // Compute sample correlation r = lowdisc_corrcoef ( x )