Calculates the covariance matrix. The input can be one matrix, which contains the observations of a set of random variables, or two matrices, each one representing a vector of observations.
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Syntax |
Description |
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cov(A); cov(A, B); |
Calculate the covariance matrix.
C = cov(A) returns the covariance. A is a matrix where columns represent random variables and rows represent observations; C is the covariance matrix with the corresponding column variances along the diagonal. C = cov(A, B) returns the covariance between two random variables A and B. If A and B are vectors of observations with equal length, cov(A, B) is the 2-by-2 covariance matrix; if A and B are matrices of observations, cov(A, B) treats A and B as vectors and is equivalent to cov(A(1:lenght(A)), B(1:length(B))). A and B must have equal size. |
Example
The following examples illustrate how to find the covariance matrix.
A = [1,2;3,4]; B = [1.1,2.7; 2.5, 4.3]; ?cov(A,B); ?cov(A(1:length(A)),B(1:length(B))); result: 1.25 1.175 1.175 1.2875 result: 1.25 1.175 1.175 1.2875
See Also