## Copyright (C) 1995, 1996, 1997 Kurt Hornik ## ## This program is free software; you can redistribute it and/or modify ## it under the terms of the GNU General Public License as published by ## the Free Software Foundation; either version 2, or (at your option) ## any later version. ## ## This program is distributed in the hope that it will be useful, but ## WITHOUT ANY WARRANTY; without even the implied warranty of ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU ## General Public License for more details. ## ## You should have received a copy of the GNU General Public License ## along with this file. If not, write to the Free Software Foundation, ## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA. ## usage: cov (x [, y]) ## ## The (i,j)-th entry of cov (x, y) is the covariance between the i-th ## variable in x and the j-th variable in y. ## ## For matrices, each row is an observation and each column a variable; ## vectors are always observations and may be row or column vectors. ## ## cov (x) is cov (x, x). ## Author: KH <Kurt.Hornik@ci.tuwien.ac.at> ## Description: Compute covariances function c = cov (x, y) if (nargin < 1 || nargin > 2) usage ("cov (x [, y])"); endif if (rows (x) == 1) x = x'; endif n = rows (x); if (nargin == 2) if (rows (y) == 1) y = y'; endif if (rows (y) != n) error ("cov: x and y must have the same number of observations."); endif x = x - ones (n, 1) * sum (x) / n; y = y - ones (n, 1) * sum (y) / n; c = conj (x' * y / (n - 1)); elseif (nargin == 1) x = x - ones (n, 1) * sum (x) / n; c = conj (x' * x / (n - 1)); endif endfunction

Generated by Doxygen 1.6.0 Back to index