This enhancement has been incorporated in Release 2011a (R2011a). For previous product releases, read below for any possible workarounds:
The following two workarounds allow you to compute the Pearson's linear correlation coefficient faster than CORR.
Workaround 1:
tic
ret_cov = cov(returns);
[~,ret_corr2] = cov2corr(ret_cov);
toc
Elapsed time is 0.009861 seconds.
Workaround 2:
tic
n = size(returns,2);
N = size(returns,1);
ret_corr3 = zeros(n,n);
for ix = 2:n
for iy = 1:ix-1
xm = returns(:,ix);
xmsx = (xm-mean(xm))./std(xm);
ym = returns(:,iy);
ymsy = (ym-mean(ym))./std(ym);
ret_corr3(ix,iy) = (1/(N-1))*sum(xmsx.*ymsy);
end
end
ret_corr3 = ret_corr3 + ret_corr3' + eye(n);
toc
Elapsed time is 0.016819 seconds.
