Knowledge base

The SimulationCorrelationMatrix function returns an array of correlations among several variates — usually the output of several Multivariate distribution functions.

You can do the same thing using several SimulationCorrelation functions — this function makes it easier because you don’t have to adjust the references for each cell, and you only have to type in one function.

SimulationCorrelationMatrix is an array function. You can enter it as an array (using Ctrl+Shift+Enter) or enter it into a single cell using Excel’s dynamic array function.

By default, the function will return only the lower-triangular matrix of correlations. This is easier to read than the full matrix. If you need the full matrix, set the second argument to TRUE (or any non-zero value).