Algorithm Details: Correlation Matrix

The word correlation stands for statistical dependence or association between two variables discovering interrelations of variables for the detection of fraud and tampering with data. For a bigger absolute value of the correlation, an ellipse is more oblong. Color intensity is also proportional to the correlation value.The correlation matrix algorithm creates the following format:

• There are ellipses in cells of a matrix (unless the number of selected variables is 50 or more, in that case, there are just colored cells). The greater the value of the correlation is, the more oblong the ellipsis is.
• Positive correlations are displayed in blue and negative correlations in red color. Color intensity is also proportional to the correlation value.
• A direction of the bigger axis of an ellipse depends on the sign of the correlation value. Also, positive correlations are displayed in blue and negative correlations in red.

[1] D. J. Murdoch and E. D. Chow. (1996). A Graphical Display of Large Correlation Matrices, The American Statistician vol. 50, no. 2, 178-180.(https://www.tandfonline.com/doi/abs/10.1080/00031305.1996.10474371)

[2] NCC Statistical software chapter 401 Correlation matrix https://ncss-wpengine.netdna-ssl.com/wp-content/themes/ncss/pdf/Procedures/NCSS/Correlation_Matrix.pdf