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NaN Toolbox >> NaN Toolbox > Data Correlation and Covariance > nan_decovm

nan_decovm

decomposes extended covariance matrix

Calling Sequence

[mu,sd,COV,xc,N,R2]=nan_decovm(ECM[,NN])

Parameters

ECM:

is the extended covariance matrix

NN:

is the number of elements, each estimate (in ECM) is based on

mu:

mean

sd:

standard deviation

COV:

the (pure) Covariance

xc:

correlation matrix

R2:

correlation coefficients

Description

decompose extended covariance matrix into mean (mu), standard deviation, the (pure) Covariance (COV), correlation (xc) matrix and the correlation coefficients R2. NaN's are condsidered as missing values.

See also

Authors


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