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MeasuresCovariance Method (Double, Double)

Calculates the covariance matrix of a sample matrix.

Namespace:  Accord.Statistics
Assembly:  Accord.Math (in Accord.Math.dll) Version: 3.8.0
public static double[][] Covariance(
	this double[][] matrix,
	double[] means
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Type: SystemDouble
A number multi-dimensional array containing the matrix values.
Type: SystemDouble
The mean value of the given values, if already known.

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).
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.
See Also