Basically, all of these matrices are calculated using the same procedure:ATA.The only difference between them is how the data is scaled before the matrixmultiplication is executed:
scatter matrix: no scaling
covariance: the mean of each variable is subtracted before multiplication
cross correlation: each variable is standardized(mean subtracted, then divided by standard deviation)
The correlation matrix of n random variables X1, ..., Xn is the n × n matrix whose i,j entry is corr(Xi, Xj). If the measures of correlation used are product-moment coefficients, the correlation matrix is the same as the covariance matrix of the standardized random variables Xi / σ (Xi) for i = 1, ..., n.
Correlation can refer to any departure of two or more random variables from independence, that is to say correlation is used to measure dependence between quantities.