MeasuresCovariance Method (Double)

Calculates the covariance matrix of a sample matrix.

Namespace: Accord.Statistics
Assembly: Accord.Math (in Accord.Math.dll) Version: 3.8.0

Syntax

public static double[][] Covariance(
	this double[][] matrix
)

<ExtensionAttribute>
Public Shared Function Covariance ( 
	matrix As Double()()
) As Double()()

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Parameters

matrix: Type: SystemDouble
A number multi-dimensional array containing the matrix values.

Return Value

Type: Double
The covariance matrix.

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).

Remarks

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 random variable.

Reference

Measures Class

Covariance Overload

Accord.Statistics Namespace