Creates a square, symmetric matrix containing the variances and covariances of the columns in data.

Namespace:  CenterSpace.NMath.Stats
Assembly:  NMathStats (in NMathStats.dll) Version: 3.4.0.0

Syntax

C#
public static FloatMatrix CovarianceMatrix(
	FloatMatrix data,
	bool memoized
)
Visual Basic (Declaration)
Public Shared Function CovarianceMatrix ( _
	data As FloatMatrix, _
	memoized As Boolean _
) As FloatMatrix
Visual C++
public:
static FloatMatrix^ CovarianceMatrix(
	FloatMatrix^ data, 
	bool memoized
)

Parameters

data
Type: CenterSpace.NMath.Core..::.FloatMatrix
Matrix.
memoized
Type: System..::.Boolean
Memoize intermediate calculations. Improve performance at the cost of using more memory

Return Value

The covariance matrix.

Remarks

If C is the returned covariance matrix, then the diagonal elements C[i,i] represent the variances for the columns of data. The off-diagonal elements C[i,j] represent the covariances of columns i and j.

Exceptions

ExceptionCondition
CenterSpace.NMath.Core..::.InvalidArgumentException Thrown if data has only one row.

See Also