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MeasuresCovariance Method (Double, Double, Boolean)

Computes the Covariance between two arrays of values.

Namespace:  Accord.Statistics
Assembly:  Accord.Math (in Accord.Math.dll) Version: 3.8.0
public static double Covariance(
	this double[] vector1,
	double[] vector2,
	bool unbiased = true
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Type: SystemDouble
A number array containing the first vector elements.
Type: SystemDouble
A number array containing the second vector elements.
unbiased (Optional)
Type: SystemBoolean
Pass true to compute the sample variance; or pass false to compute the population variance. See remarks for more details.

Return Value

Type: Double
The variance of the given data.

Usage Note

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).

Setting unbiased to true will make this method compute the variance σ² using the sample variance, which is an unbiased estimator of the true population variance. Setting this parameter to true will thus compute σ² using the following formula:

σ² = 1 / (N - 1)  ∑   (x_i − μ)²

Setting unbiased to false will assume the given values already represent the whole population, and will compute the population variance using the formula:

σ² =   (1 / N)    ∑   (x_i − μ)²
See Also