View source for SampleCovariance

[[category:Statistical Functions]]

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

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.

= Library =

Multivariate Distributions.ana

= See Also =

* [[Correlation]]
* [[SampleCorrelation]]
* [[Gaussian]]