nan_cov Data Correlation and Covariance nan_decovm

NaN Toolbox >> NaN Toolbox > Data Correlation and Covariance > nan_covm

nan_covm

generates covariance matrix

Calling Sequence

nan_covm(X,Mode);
nan_covm(X,Y,Mode);
nan_covm(...,W);
C = nan_covm(...);
[C,N] = nan_covm(...);

Parameters

W :

weighted crosscorrelation

Mode = 'M' :

minimum or standard mode [default]

Mode = 'E':

extended mode

Mode = 'D' or 'D0':

detrended mode

Mode = 'D1' :

is the same as 'D' but uses N for scaling.

C:

is the scaled by N in Mode M and by (N-1) in mode D.

[C,N]:

C is not scaled, provides the scaling factor N

Description

X and Y can contain missing values encoded with NaN. NaN's are skipped, NaN do not result in a NaN output. The output gives NaN only if there are insufficient input data

nan_covm(X,Mode); calculates the (auto-)correlation matrix of X

nan_covm(X,Y,Mode); calculates the crosscorrelation between X and Y

See also

Authors

nan_cov Data Correlation and Covariance nan_decovm