cov SciMax Toolbox covdiff

SciMax Toolbox >> cov1

cov1

Maxima Function

Calling Sequence

cov1 (matrix)

Description

The covariance matrix of the multivariate sample, defined as

n
====
1   \           _        _
S  = ---   >    (X  - X) (X  - X)'
1   n-1  /       j        j
====
j = 1
where

X_j is the j-th row of the sample matrix.

Example:

(%i1) load (descriptive)$
(%i2) load (numericalio)$
(%i3) s2 : read_matrix (file_search ("wind.data"))$
(%i4) fpprintprec : 7$ /* change precision for pretty output */
(%i5) cov1 (s2);
      [ 17.39587  13.75567  14.51734  19.59216  15.5774  ]
      [                                                  ]
      [ 13.75567  15.13913  13.43887  15.31145  15.12232 ]
      [                                                  ]
(%o5) [ 14.51734  13.43887  15.63205  17.50044  16.34516 ]
      [                                                  ]
      [ 19.59216  15.31145  17.50044  32.50153  20.65338 ]
      [                                                  ]
      [ 15.5774   15.12232  16.34516  20.65338  24.66977 ]

See also function .

cov SciMax Toolbox covdiff