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IMSL Routines for Correlation and Covariance

IMSL Routines for Correlation and Covariance

IMSL_COVARIANCES: Variance-covariance or correlation matrix.

IMSL_PARTIAL_COV: Partial correlations and covariances.

IMSL_POOLED_COV: Pooled covariance matrix. IMSL_ROBUST_COV—Robust estimate of covariance matrix.



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