SAP HANA Predictive Analysis Library (PAL)

PAL_KMSURV_LOGRANK_STAT2_TBL:
3.7.7 Multivariate Statistics
This function calculates several basic multivariate statistics including covariance matrix and Pearson’s
correlation coefficient matrix. The function treats each column as a data sample.
Covariance Matrix
The covariance between two data samples (random variables) x and y is:
Suppose that each column represents a data sample (random variable), the covariance matrix Σ is defined as
the covariance between any two random variables:
where X=[X 1 ,X 2 ,...,X n ].
Pearson’s Correlation Coefficient Matrix
The Pearson’s correlation coefficient between two data samples (random variables) X and Y is the covariance
of X and Y divided by the product of standard deviation of X and the standard deviation Y:
Similar to the covariance matrix, the Pearson’s correlation coefficient matrix Σ is:
where X=[X 1 ,X 2 ,...,X n ].
Prerequisites
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The input data columns are of integer or double data type.
The input data does not contain null value. The algorithm will issue errors when encountering null values.
SAP HANA Predictive Analysis Library (PAL)
PAL Functions P U B L I C 525