Returns the covariance matrix for the columns in a matrix
given the column means.
Namespace: Extreme.StatisticsAssembly: Extreme.Numerics.Net40 (in Extreme.Numerics.Net40.dll) Version: 6.0.16073.0 (6.0.17114.0)
public static SymmetricMatrix CovarianceMatrix(
Matrix matrix,
MultipleMissingValueAction missingValueAction
)
Public Shared Function CovarianceMatrix (
matrix As Matrix,
missingValueAction As MultipleMissingValueAction
) As SymmetricMatrix
public:
static SymmetricMatrix^ CovarianceMatrix(
Matrix^ matrix,
MultipleMissingValueAction missingValueAction
)
static member CovarianceMatrix :
matrix : Matrix *
missingValueAction : MultipleMissingValueAction -> SymmetricMatrix
Parameters
- matrix
- Type: Extreme.MathematicsMatrix
A Matrix. - missingValueAction
- Type: Extreme.StatisticsMultipleMissingValueAction
The action to take when missing values are encountered.
Return Value
Type:
SymmetricMatrixA
SymmetricMatrix containing the covariances between the columns of
matrix.
Only the options Ignore and DiscardPairwiseOnly
are implemented at this time.
If missingValueAction is Ignore,
the calculations are performed as if no values are missing.
Missing values are propagated through the calculation.
If missingValueAction is DiscardMinimal,
means and variances are calculated using all valid observations,
and covariances are calculated only using complete pairs of observations.
Any other value for missingValueAction
results in a NotImplementedException.
Numerical Libraries
Supported in: 5.x
Reference