The correlation matrix of n random variables X1, ...,
Xn is the n × n matrix whose i,j entry is
corr(Xi, Xj), the correlation between
X1 and Xn.
The Kendall rank correlation coefficient, commonly referred to as Kendall's tau (τ)
coefficient, is a statistic used to measure the association between two measured quantities.
Spearman's rank correlation coefficient or Spearman's rho is a non-parametric measure of
statistical dependence between two variables.