MeasuresCovariance Method (Double, Int32)
Calculates the covariance matrix of a sample matrix.
Accord.Math (in Accord.Math.dll) Version: 3.8.0
Syntax Request Example
public static double[,] Covariance(
this double[,] matrix,
Public Shared Function Covariance (
matrix As Double(,),
dimension As Integer
) As Double(,)
- Type: SystemDouble
A number multi-dimensional array containing the matrix values.
- Type: SystemInt32
The dimension of the matrix to consider as observations. Pass 0 if the matrix has
observations as rows and variables as columns, pass 1 otherwise. Default is 0.
The covariance matrix.
In Visual Basic and C#, you can call this method as an instance method on any object of type . When you use instance method syntax to call this method, omit the first parameter. For more information, see Extension Methods (Visual Basic)
or Extension Methods (C# Programming Guide)
In statistics and probability theory, the covariance matrix is a matrix of
covariances between elements of a vector. It is the natural generalization
to higher dimensions of the concept of the variance of a scalar-valued