coth SciMax Toolbox cov1

SciMax Toolbox >> cov

cov

Maxima Function

Calling Sequence

cov (matrix)

Description

The covariance matrix of the multivariate sample, defined as

n
====
1  \           _        _
S = -   >    (X  - X) (X  - X)'
n  /       j        j
====
j = 1
where

X_j is the j-th row of the sample matrix.

Example:

(%i1) load (descriptive)$
(%i2) load (numericalio)$
(%i3) s2 : read_matrix (file_search ("wind.data"))$
(%i4) fpprintprec : 7$  /* change precision for pretty output */
(%i5) cov (s2);
      [ 17.22191  13.61811  14.37217  19.39624  15.42162 ]
      [                                                  ]
      [ 13.61811  14.98774  13.30448  15.15834  14.9711  ]
      [                                                  ]
(%o5) [ 14.37217  13.30448  15.47573  17.32544  16.18171 ]
      [                                                  ]
      [ 19.39624  15.15834  17.32544  32.17651  20.44685 ]
      [                                                  ]
      [ 15.42162  14.9711   16.18171  20.44685  24.42308 ]

See also function .

coth SciMax Toolbox cov1