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Correlation matrix between two data sets

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  1. #1
    Forum Contributor
    Join Date
    04-24-2012
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    Moscow
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    Excel 2010
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    Correlation matrix between two data sets

    Hi all, please help,

    Lets say we have two data sets: 1st consists of 100 variables arranged into 100 columns and 2nd one is 200 other variables arranged into 200 columns. We need to calculate correlations of each of 100 variables with every one out of 2nd 200 variables. All variables for the same sample of 50 dates - so per every date we have 100+200=300 variables.So no need in correlations inside the groups, only cross correlations.At the output must be 100*200=20000 correlations. Is it possible some how just to write formula using correl and just drag it?? Any other way will be welcome. Is there any elegant and efficient way of doing it, say, in 1 min??? THANKS IN ADVANCE
    Last edited by Alexander_Golinsky; 04-24-2012 at 05:25 PM.

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