Correlation matrix ignoring NaN

Hi guys,

I have the attached matrix and I am trying to compute pairwise correlations between columns but I want to ignore all the columns which have a single NaN (i.e. the result for any pair of columns in which at least one entry is NaN should be NaN).

Here's my code so far:

for i=1:size(auxret,2)
    for j=1:size(auxret,2)
        rho(i,j)=corr(auxret(:,i),auxret(:,j));
        end
    end
end

But this is extremely innefficient. I considered using the function:

corr(auxret, 'rows','pairwise');

But it didn't produce the same result (it ignores NaNs but still computes the correlation - so unless all entries of a column except one are NaN it will still give an output)/

Answer 1

[Star Strider]

If you want a NaN result for all rows and columns that contain NaN values, either use the default, or specify:

R = corr(auxret, 'rows','all');

Answer 2

[dpb]

IIUC, any column containing any NaN shouldn't be included so reduce the matrix first...

auxret(any(isnan(auxret)),:)=[];

If the original columns are important then you'll want to keep an index so that know which have been removed...

idx=any(isnan(auxret));
auxret(idx,:)=[];