cmd function

Correlation matrix distance

Computes the correlation matrix distance between two correlation matrices

cmd(x, y)

Arguments

• x: First correlation matrix
• y: Second correlation matrix

Returns

Returns the correlation matrix distance, which is a value between 0 and 1. The correlation matrix distance becomes zero for equal correlation matrices and unity if they differ to a maximum extent.

Examples

m1 <- matrix(rep(1, 16), 4)
m2 <- matrix(c(1, 0, .5, .5, 0, 1, .5, .5, .5, .5, 1, .5, .5, .5, .5, 1), 4)
m3 <- matrix(c(1, 1, 0, 0, 1, 1, 0, 0, 0, 0, 1, 0, 0, 0, 0, 1), 4)
cmd(m1, m1)
cmd(m1, m2)
cmd(m2, m3)

References

Herdin, M., and Czink, N., and Ozcelik, H., and Bonek, E. (2005). Correlation matrix distance, a meaningful measure for evaluation of non-stationary mimo channels. IEEE VTC.

Author(s)

Claus Ekstrom claus@rprimer.dk