Hi
I struggled to display a heatmap showing the correlation of fields (calling the matrix_stats agg from Elasticsearch).
Many many thanks to my colleague Yuri that helped me on this 
Here is the code that works:
{
"$schema": "https://vega.github.io/schema/vega/v4.3.json",
"title": "A heatmap showing the correlation of features",
"data": [
{
"name": "feature_correlation",
"url": {
%context%: true
index: fraud*
body: {
size: 0
aggs: {
statistics: {
matrix_stats: {
fields: ["amount", "oldBalanceOrig", "newBalanceOrig", "oldBalanceDest", "newBalanceDest", "errorBalanceOrig", "errorBalanceDest"]
}
}
}
}
}
format: {property: "aggregations.statistics.fields"}
"transform": [
{"type": "formula", "expr": "datum.correlation.amount", "as": "amount"}
{"type": "formula", "expr": "datum.correlation.oldBalanceOrig", "as": "oldBalanceOrig"}
{"type": "formula", "expr": "datum.correlation.newBalanceOrig", "as": "newBalanceOrig"}
{"type": "formula", "expr": "datum.correlation.oldBalanceDest", "as": "oldBalanceDest"}
{"type": "formula", "expr": "datum.correlation.newBalanceDest", "as": "newBalanceDest"}
{"type": "formula", "expr": "datum.correlation.errorBalanceOrig", "as": "errorBalanceOrig"}
{"type": "formula", "expr": "datum.correlation.errorBalanceDest", "as": "errorBalanceDest"}
{"type": "fold", "fields": [ "amount", "oldBalanceOrig", "newBalanceOrig", "oldBalanceDest", "newBalanceDest", "errorBalanceOrig", "errorBalanceDest"]}
{"type": "project", "fields": ["name", "key", "value"]}
]
}
],
"scales": [
{
"name": "x",
"type": "band",
"domain": {"data": "feature_correlation", "field": "name"},
"range": "width"
},
{
"name": "y",
"type": "band",
"domain": {"data": "feature_correlation", "field": "key"},
"range": "height"
},
{
"name": "color",
"type": "linear",
"range": {"scheme": "yelloworangebrown"},
"domain": {"data": "feature_correlation", "field": "value"},
"zero": false, "nice": true
}
],
"axes": [
{"orient": "bottom", "scale": "x", "domain": false},
{"orient": "left", "scale": "y", "domain": false}
],
"legends": [
{
"fill": "color",
"type": "gradient",
"title": "Correlation",
"titleFontSize": 12,
"titlePadding": 4,
"gradientLength": {"signal": "height - 16"}
}
],
"marks": [
{
"type": "rect",
"from": {"data": "feature_correlation"},
"encode": {
"enter": {
"x": {"scale": "x", "field": "name"},
"y": {"scale": "y", "field": "key"},
"width": {"scale": "x", "band": 1},
"height": {"scale": "y", "band": 1},
"tooltip": {"signal": "datum.name + ' - ' + datum.key + ': ' + format(datum.value, '.3f')"}
},
"update": {
"fill": {"scale": "color", "field": "value"}
}
}
}
]
}
and the result:
Happy Vega!