The correlation matrix is a square matrix that contains the Pearson product-moment correlation coefficient (often abbreviated as Pearson's r), which measure the linear dependence between pairs of features. The correlation coefficients are in the range -1 to 1. Two features have a perfect positive correlation if , no correlation if , and a perfect negative correlation if . As mentioned previously, Pearson's correlation coefficient can simply be calculated as the covariance between two features x and y (numerator) divided by the product of their standard deviations (denominator):
