find high correlated variables in a big matrix

On May 6, 2016, at 2:12 PM, Lida Zeighami <lid.zigh at gmail.com> wrote:

Hi there,

Is there any way to find out high correlated variables among a big matrix?
for example I have a matrix called data= 2000*5000 and I need to find the
high correlated variables between the variables in the columns! (Need 100
high correlated variables from 5000 variables in column)

I could calculate the correlation matrix and pick the high correlated ones
but my problem is, I just can pick pairs of variables with high correlation
and may be we have low correlation across the pairs! Means, in my 100*100
correlation matrix, there are some pairs with low correlation and I
couldn't find the 100 variables which they all have high correlation
together!!!
Would you please ley me know if there is any way?

base <- rnorm(100)

test <- matrix(base+0.2*rnorm(300), 100)

rcorr(test)[[1]]

mycorr <- .Last.value

which(mycorr > 0.97 & mycorr != 1, arr.ind=TRUE)