SampleCovariance(X, I, J, R)

Returns a correlation matrix based on data in «X», where each data point is a vector indexed by «I», and the entries in the correlation matrix are the pair-wise correlations of the columns of data. A second index, «J», of size identical to «I», is required in order to index the 2-dimensional result.


SampleCovariance(X: Array[I, R]; I, J, R: IndexType)


Multivariate Distributions library functions (Multivariate Distributions.ana)

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See Also


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