Creating a multidimensional correlation matrix from excel file

Hi, I wish to create a multidimensional correlation matrix, C, involving three variables for time period ranging from i = 1 to n, i.e. (3:3:i), with i = 1:n

I have a list of correlation coefficients between var1 and var2, between var 2 and var3 and between var1 and var3 for each time period, organized in excel file, as three separate columns.

I wish to find out how to input the data files into matlab, and write a command that generates the matrix C:

C = (:,:,1) = [1 corr(var1,var2) corr(var1,var3); corr(var2,var1) 1 corr(var2,var3) ; corr(var3,var1) corr(var3,var2) 1) [for i=1]

C = (:,:,2) = [1 corr(var1,var2) corr(var1,var3); corr(var2,var1) 1 corr(var2,var3) ; corr(var3,var1) corr(var3,var2) 1) [for i=2]

...

C = (:,:,n) = [1 corr(var1,var2) corr(var1,var3); corr(var2,var1) 1 corr(var2,var3) ; corr(var3,var1) corr(var3,var2) 1) [for i=n]

Thank you

Answer 1

[Pratyush Roy]

Hi Anthony,

The following code might be helpful to generate a set of correlation matrices arranged in a correlation volume:

T = readtable('corr.xlsx','PreserveVariableNames',true);
T2 = T(:,~ismember(T.Properties.VariableNames, {'time = i'}));
tableArray = table2array(T2);
[rowNum,colNum] = size(tableArray);
corrVol = ones(colNum,colNum,rowNum);

for i=1:rowNum
    for j=1:colNum
        for k = 1:colNum
            if ((j==2)&(k==1) | (j==1)&(k==2))
                corrVol(j,k,i) = tableArray(i,1);
            elseif ((j==3)&(k==1) | (j==1)&(k==3))
                corrVol(j,k,i) = tableArray(i,2);
            elseif ((j==3)&(k==2) | (j==2)&(k==3))
                corrVol(j,k,i) = tableArray(i,3);
            end
        end
    end
end

Here we are using readtable command to read the excel file and converting the table into array using table2array. We are removing the column containing the dates using the ismember function.

Hope this helps!