Name
nisp_cov — Returns the empirical covariance matrix of x and y.
Calling Sequence
C = nisp_cov ( x , y )
Parameters
- x:
a n-by-1 matrix of doubles
- y:
a n-by-1 matrix of doubles
- C:
a 2-by-2 matrix of doubles, the empirical covariance
Description
Returns the empirical covariance matrix, normalized by n-1,
where n is the number of observations.
TODO : add the normalization by n
TODO : add the C=cov(x) calling sequence
Examples
x = [1;2];
y = [3;4];
C = nisp_cov (x,y)
expected = [0.5,0.5;0.5,0.5]
x = [230;181;165;150;97;192;181;189;172;170];
y = [125;99;97;115;120;100;80;90;95;125];
expected = [1152.4556,-88.911111;-88.911111,244.26667]
C = nisp_cov (x,y)
Authors
Copyright (C) 2011 - INRIA - Michael Baudin |
Bibliography
"Introduction to probability and statistics for engineers and scientists.", Sheldon Ross