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NaN Toolbox >> NaN Toolbox > Data Correlation and Covariance > nan_ecovm

nan_ecovm

produces an extended Covariance matrix,

Calling Sequence

[ECM] = nan_ecovm(X);
[ECM] = nan_ecovm(X,Y);
[ECM,NN] = nan_ecovm(...);

Description

ECM= [1 X]'*[1 X]; // l is a matching column of 1's ECM is additive, i.e. it can be applied to subsequent blocks and summed up afterwards

For [ECM] = nan_ecovm(X,Y);

ECM= [1 X]'*[1 Y]; // l is a matching column of 1's

if [ECM_1,NN1] = nan_ecovm(s_1);

and [ECM_n,NN2] = nan_ecovm(s_n);

with [ECM,NN] = nan_ecovm([s_1+...+s_n]);

then ECM_1 + ... + ECM_n == ECM

and NN1 + ... + NNn == NN

See also

Authors


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