MeasuresWeightedCovariance Method (Double, Double, Int32)

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[,] WeightedCovariance(
	this double[][] matrix,
	double[] weights,
	int dimension = 0
)

<ExtensionAttribute>
Public Shared Function WeightedCovariance ( 
	matrix As Double()(),
	weights As Double(),
	Optional dimension As Integer = 0
) As Double(,)

Request Example View Source

Parameters

matrix: Type: SystemDouble
A number multi-dimensional array containing the matrix values.
weights: Type: SystemDouble
An unit vector containing the importance of each sample in . The sum of this array elements should add up to 1.
dimension (Optional): Type: SystemInt32
Pass 0 to if mean vector is a row vector, 1 otherwise. Default value is 0.

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).

Reference

Measures Class

WeightedCovariance Overload

Accord.Statistics Namespace