WebCab Probability and Statistics for Delphi (.NET) v3.6

Correlation.CovarianceMatrix Method 

Calculates the covariance matrix for a collection of (ordered) discrete variables.

public double[][] CovarianceMatrix(
   double[][] dataSets
);

Parameters

dataSets
A two dimensional array where the element dataSets[i][t] is the value of the t-th element of the i-th array.

Return Value

A two dimensional array where the element dataSets[i][j] is the covariance (see Covariance between the i-th and j-th (ordered) discrete variable.

See Also

Correlation Class | WebCab.Libraries.Statistics.Correlation Namespace