skfolio.measures.correlation

skfolio.measures.correlation(X, sample_weight=None)

Compute the correlation matrix.

Parameters:

Xndarray of shape (n_observations, n_assets)

Array of values.

sample_weightndarray of shape (n_observations,), optional

Relative observation weights. Must be finite and nonnegative. If None, equal weights are assumed.

Returns:

corrndarray of shape (n_assets, n_assets)

The correlation matrix.